商品衍生品的一般远期曲线动力学

David Xiao
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引用次数: 0

摘要

由于商品衍生品通常通过期货或远期交易进行交易,因此本文提出了一个通用框架,用于对商品市场的远期曲线动态进行建模。我们已经从理论上证明了商品价格是由多种因素驱动的。因此,该模型可以更好地捕捉远期价格和波动动态。实证研究表明,模型价格与市场价格非常接近,初步表明模型性能良好。
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Generic Forward Curve Dynamics for Commodity Derivatives
This article presents a generic framework for modeling the dynamics of forward curves in commodity market as commodity derivatives are typically traded by futures or forwards. We have theoretically demonstrated that commodity prices are driven by multiple components. As such, the model can better capture the forward price and volatility dynamics. Empirical study shows that the model prices are very close to the market prices, indicating prima facie that the model performs quite well.
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