| 商品期货便利收益的期权定价及实证检验 |
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| 引用本文： | 安宁,刘志新.商品期货便利收益的期权定价及实证检验[J].中国管理科学,2006,14(6):119-123. |
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| 作者姓名： | 安宁 刘志新 |
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| 作者单位： | 北京航空航天大学经济管理学院, 北京, 100083 |
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| 基金项目： | 国家自然科学基金;教育部跨世纪优秀人才培养计划 |
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| 摘 要： | 本文根据国外便利收益理论,深入研究便利收益的期权性质及其定价,并采用修正的Black-Scholes期权定价模型对中国期货便利收益进行分析.研究表明中国商品期货便利收益具备看涨期权的特性并可以运用期权定价模型对其定价,此外中国商品期货便利收益表现出与理论相异的特性,即呈现周期性的循环变化.
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| 关 键 词： | 便利收益 看涨期权 期货定价 |
| 文章编号： | 1003-207(2006)06-0119-05 |
| 收稿时间： | 2006-01-23; |
| 修稿时间： | 2006年1月23日 |
Options Pricing of the Convenience Yield for Futures and Its Demonstration |
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| AN Ning,LIU Zhi-xin.Options Pricing of the Convenience Yield for Futures and Its Demonstration[J].Chinese Journal of Management Science,2006,14(6):119-123. |
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| Authors: | AN Ning LIU Zhi-xin |
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| Institution: | School of Economics and Management, Beijing University of Aeronautics and Astronautics, Beijing 100083, China |
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| Abstract: | This article applies an extension of the Black-Scholes option pricing model,which is based on the foreign theory of convenience yield,to portray the character of convenience yield in Chinese futures market.The results show that the convenience yield can be seen as a call option in characters and priced by option pricing model.Futhermore,the convenience yield in Chinese futures market shows some specialties different from the theory. |
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| Keywords: | convenience yield call option futures pricing |
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