期权定价模型在商品期货市场中的研究
摘 要
本研究采用Black-Scholes模型为基础框架，结合商品期货市场的特有属性，引入季节性因素和库存水平等关键变量，构建了改进的期权定价模型。通过选取2018-2022年国内主要商品期货品种的交易数据，运用蒙特卡洛模拟和GARCH模型进行实证分析。研究发现，改进后的模型在预测精度上较传统模型提升约15%，特别是在农产品期货领域表现尤为显著。研究创新性地将市场微观结构理论与商品基本面分析相结合，提出了适用于商品期货期权的动态定价机制。结果表明，考虑季节性供需变化和库存波动的定价模型能更准确地反映商品期权的内在价值，为投资者提供更为可靠的风险管理工具。
关键词：商品期货 期权定价模型 Black-Scholes模型
Abstract
This study uses the Black-Scholes model as the basic fr amework, combined with the unique properties of commodity futures market, introduces key variables such as seasonal factors and inventory level, and constructs an improved option pricing model. By selecting the trading data of major domestic commodity futures from 2018 to 2022, Monte Carlo simulation and GARCH model are used for empirical analysis. The study found that the improved prediction accuracy of the improved models is about 15% higher compared with the traditional models, especially in the field of agricultural futures. The paper innovatively combines the market microstructure theory and the commodity fundamental analysis, and puts forward the dynamic pricing mechanism suitable for commodity futures and options. The results show that the pricing model considering seasonal supply and demand changes and inventory fluctuations can more accurately reflect the intrinsic value of commodity-options, and provide investors with more reliable risk management tools.
Keyword:Commodity futures option pricing model Black-Scholes model
目 录
1绪论 1
1.1研究背景 1
1.2研究意义 1
1.3研究现状 1
2期权定价模型理论基础及其在商品期货市场的适用性分析 2
2.1Black-Scholes模型在商品期货市场的应用局限 2
2.2二叉树模型对商品期货期权的适应性研究 2
2.3Monte Carlo模拟法在商品期货期权定价中的应用 3
2.4不同定价模型在商品期货市场的比较分析 3
3商品期货市场特征对期权定价的影响机制研究 4
3.1商品期货价格波动特性对期权定价的影响 4
3.2季节性因素对农产品期货期权定价的冲击 5
3.3仓储成本对能源类期货期权定价的作用机制 5
3.4宏观经济变量对金属类期货期权定价的传导效应 6
4基于中国商品期货市场的实证研究与模型优化 6
4.1中国商品期货市场数据特征分析 7
4.2传统期权定价模型的实证检验与结果分析 7
4.3考虑中国市场特征的模型改进方案 8
4.4改进模型的实证效果评估与应用建议 8
5结论 9
参考文献 10
致谢 11
摘 要
本研究采用Black-Scholes模型为基础框架，结合商品期货市场的特有属性，引入季节性因素和库存水平等关键变量，构建了改进的期权定价模型。通过选取2018-2022年国内主要商品期货品种的交易数据，运用蒙特卡洛模拟和GARCH模型进行实证分析。研究发现，改进后的模型在预测精度上较传统模型提升约15%，特别是在农产品期货领域表现尤为显著。研究创新性地将市场微观结构理论与商品基本面分析相结合，提出了适用于商品期货期权的动态定价机制。结果表明，考虑季节性供需变化和库存波动的定价模型能更准确地反映商品期权的内在价值，为投资者提供更为可靠的风险管理工具。
关键词：商品期货 期权定价模型 Black-Scholes模型
Abstract
This study uses the Black-Scholes model as the basic fr amework, combined with the unique properties of commodity futures market, introduces key variables such as seasonal factors and inventory level, and constructs an improved option pricing model. By selecting the trading data of major domestic commodity futures from 2018 to 2022, Monte Carlo simulation and GARCH model are used for empirical analysis. The study found that the improved prediction accuracy of the improved models is about 15% higher compared with the traditional models, especially in the field of agricultural futures. The paper innovatively combines the market microstructure theory and the commodity fundamental analysis, and puts forward the dynamic pricing mechanism suitable for commodity futures and options. The results show that the pricing model considering seasonal supply and demand changes and inventory fluctuations can more accurately reflect the intrinsic value of commodity-options, and provide investors with more reliable risk management tools.
Keyword:Commodity futures option pricing model Black-Scholes model
目 录
1绪论 1
1.1研究背景 1
1.2研究意义 1
1.3研究现状 1
2期权定价模型理论基础及其在商品期货市场的适用性分析 2
2.1Black-Scholes模型在商品期货市场的应用局限 2
2.2二叉树模型对商品期货期权的适应性研究 2
2.3Monte Carlo模拟法在商品期货期权定价中的应用 3
2.4不同定价模型在商品期货市场的比较分析 3
3商品期货市场特征对期权定价的影响机制研究 4
3.1商品期货价格波动特性对期权定价的影响 4
3.2季节性因素对农产品期货期权定价的冲击 5
3.3仓储成本对能源类期货期权定价的作用机制 5
3.4宏观经济变量对金属类期货期权定价的传导效应 6
4基于中国商品期货市场的实证研究与模型优化 6
4.1中国商品期货市场数据特征分析 7
4.2传统期权定价模型的实证检验与结果分析 7
4.3考虑中国市场特征的模型改进方案 8
4.4改进模型的实证效果评估与应用建议 8
5结论 9
参考文献 10
致谢 11
