【摘要】 引入随机跳跃的汇率因素,首次建立了跳跃扩散过程的标的资产、便利收益和汇率的三因子期货模型,然后推导出期货价格走势满足的偏微分方程,并求出该偏微分方程的解析解,应用加权最小二乘方法,给出辨识该解析解参数的方法,最后针对中国上海期货交易市场,选取燃料油期货的实际例子,求出了具体的参数并预测了未来的走势。预测结果与真实价格的比较证实了三因子期货模型是精确的,最大相对误差仅为3.772%。更多还原

【Abstract】 Considering stochastic exchange rate,a three-factor futures price model was developed with underlying asset,convenience yield and exchange rate.These factors follow jump-diffusion processes.The corresponding partial differential equation(PDE) of the futures price was derived,and its analytical solution was presented.A weight least squares approach was applied to obtain the parameters of the analytical solution.A fuel futures case in Shanghai exchange market was selected to illustrate the above model and method.The comparison between real-time price and forcasting results show that the three-factor futures price model is accurate,and the maximum relative error is 3.772%.更多还原