多资产大宗商品期权定价研究

基于大宗商品收益率与便利收益服从均值回复过程的假设,建立带协整效应的多资产大宗商品期权定价模型,求解多资产大宗商品期权价格的解析解,将大宗商品期权定价推广到更一般情况.结果表明:标的资产收益率增加,期权价格上升,替代品期权价格下降;标的资产的便利收益增加,期权价格下降,相应替代品的期权价格上升.

Study on Multi-asset Commodity Option Pricing

Commodity, on which economy development and people''s life depend, is the key of economy in China. Based on the uncertainties of return and unobservable convenience yield, we build a commodity option pricing model with co-integration under the assumption of stochastic commodity return and stochastic convenience yield. Our model generates GSC model in Nakajima and Ohashi (2012). Numerical analysis reveals that the return of commodity increases, its option price will increase, the substitute commodity option price will decrease; the convenience yield of commodity increase, the corresponding option price will decrease and the substitute commodity option price will increase.