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天然气具有运输不便及存储成本较高等特点,其供应无法满足季节性需求,即天然气价格具有强烈的季节性。另外天然气作为商品,其弱流动性导致了其期货市场的不完全性。本文考虑了天然气期货市场的不完全性和现货价格的随机季节性因素,运用随机贴现因子方法推导出天然气期货的定价模型。为了验证模型的实用性,利用纽约商品交易所(NYMEX)的天然气期货日常价格数据对模型进行实证分析,结果表明:由于天然气期货市场的不完全性而导致的市场波动主要由短期偏离、中期偏离和随机季节性因素造成的;天然气价格季节性周期为一年;天然气期货价格短期和中期偏离具有较强的均值回复性,及其期货价格有长期增长的趋势。考虑期货市场的不完全性和价格的随机季节行为,并用随机贴现因子推导的定价方法的拟合效果远好于传统的期货定价模型。
Natural gas has the characteristics of transportation inconvenience and high storage cost, and its supply can not meet the seasonal demand, that is, the price of natural gas is strongly seasoned. In addition, natural gas as a commodity, its weak liquidity led to the incompleteness of its futures market. This paper considers the incompleteness of the natural gas futures market and the random seasonal factors of the spot price, and uses the stochastic discount factor method to derive the pricing model of natural gas futures. In order to verify the practicability of the model, an empirical analysis of the model based on the daily price data of natural gas futures in New York Mercantile Exchange (NYMEX) shows that the market volatility due to the imperfection of the natural gas futures market is mainly caused by short-term deviation and medium-term deviation And random seasonal factors. Natural gas prices have a seasonal period of one year. Natural gas futures have stronger average returns in short-term and mid-term deviations, and their futures prices have a long-term growth trend. The fitting effect of the pricing method, which takes into account the imperfection of the futures market and the price of the random season, and uses the random discount factor, is much better than the traditional futures pricing model.