便利收益模型(Convenience Yield Model)是以套利为基础的商品期货定价方法。该模型通过当前的商品现货价格和合适的便利收益来对商品期货合约进行定价。
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煤炭资源;采矿权;便利收益;双因素模型。
Coal resources; Mining rights; Convenience yield; Two-factor model.
第二个模型称为双因子模型,它是在单因子模型的基础上加入了新的因子变量—便利收益率,并且假定便利收益率服从带有均值反转特性的O—U过程。
The first model is a simple one-factor model in which the logarithm of the spot price of the commodity is assumed to follow o-u process which has a mean reverting character.
在考虑商品的便利收益情况下,探讨了商品互换及其期权的定价。对价格是随机的情形建立了单因素模型;
This paper explores the pricing of commodity swaps and options on commodity swaps in the presence of convenience yields.
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