Model and verify the Incomplete degree of Commodity Futures with Stochastic Convenience Yield

摘要：

　　Unlike the traditional pricing model of commodity futures under the complete market assumption,this paper proposes a commodity futures pricing model based on stochastic convenience yield,which takes into account the incomplete market and the Poisson jump of the spot price by relating random discount rate to convenience yield.The parameters of the model are estimated by the method of Kalman Filter and Maximum Likelihood Estimator.The model is applied to the copper futures traded in Shanghai Futures Exchange.The result indicates that the volatility due to the incomplete degree of the futures market in Shanghai Futures Exchange can be attributed to the stochastic convenience yield.

关键词： commodity futures pricing convenience yield incomplete degree

作者: Huihui Wei Chenglin Fan

作者单位: is an Associate Professor of Finance at the Zhongnan University of Economics and Law,Wuhan,China 430073

会议类型: 国际会议

会议名称: 2013 China Finance Review International Conference(第六届(2013)中国金融评论国际研讨会)

会议地点: 上海

会议语种:英文

页码: 727-746

在线出版日期: 2013-07-08（万方平台首次上网日期，不代表论文的发表时间）