Cointegrated Commodity Pricing Model
Cointegrated Commodity Pricing Model
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DOI：
10.2139/ssrn.1437490
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发表时间：
2009-09
期刊：
影响因子：
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通讯作者：
Katsushi Nakajima;Kazuhiko Ōhashi
中科院分区：
文献类型：
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作者：
Katsushi Nakajima;Kazuhiko Ōhashi
在本文中，我们提出了一个商品定价模型，扩展Gibson-Schwartz两因素模型，以考虑商品价格之间的线性关系的影响，其中包括在一定条件下的协整。我们推导了期货和看涨期权的定价公式，并证明了与Duan和普利斯卡（2004）不同的是，即使商品收益率的波动率是常数，商品价格之间的线性关系或误差修正项也会影响商品衍生品的价格。使用原油和取暖油市场数据，我们估计所提出的模型。研究结果表明，这些商品价格之间的误差修正部分地解释了偏离无风险利率的漂移，这已被视为“方便”收益率在前面的模型，在商品收益率，从而影响其衍生产品的价格经验。
In this paper, we propose a commodity pricing model that extends Gibson-Schwartz two-factor model to incorporate the effect of linear relations among commodity prices, which include co-integration under certain conditions. We derive futures and call option pricing formulae, and show that unlike Duan and Pliska (2004), the linear relations among commodity prices, or the error correction term, should affect the commodity derivative prices even if volatilities of commodity returns are constant. Using crude oil and heating oil market data, we estimate the proposed model. The result suggests that the error correction between these commodity prices partly explains the deviation of drifts from risk-free rate, which has been treated as "convenience" yield in preceding models, in commodity returns, and hence affects their derivative prices empirically.