跳到主要內容

簡易檢索 / 詳目顯示

回結果列表
研究生： 楊函玲
Han-Ling Yang
論文名稱： 探討方便收益率對未來原油期貨價格的趨勢
Discussion of Convenience Yield Trends of Crude Oil Futures Prices on the Future
指導教授： 傅承德
Cheng-Der Fuh
口試委員:
學位類別： 碩士
Master
系所名稱： 理學院 - 統計研究所
Graduate Institute of Statistics
畢業學年度： 99
語文別： 中文
論文頁數： 37
中文關鍵詞： 方便收益率 、Brennan-Schwartz model
外文關鍵詞： convenience yield, Brennan-Schwartz model
相關次數： 點閱：7  下載：0 
分享至:
查詢本校圖書館目錄 查詢臺灣博碩士論文知識加值系統 勘誤回報

    • 近年來，原油能源成為一門重要的議題。全球石油供應增長緩慢，對供應能力的擔憂一直是支撐高油價的重要因素。但在國際石油交易商看來石油供應增長幅度遠遠跟不上市場需求的增長，不能徹底緩和市場的緊張氣氛。我們將探討庫存量對石油交付在未來一到十年現值的趨勢。在本文中，利用布倫南-史瓦茲模型（Brennan-Schwartz model），兩因子為石油現貨價格和瞬時方便收益率。該模型的參數估計使用紐約商業期貨交易所（NYMEX）輕原油期貨價格從1995年1月2日至2011年2月18日的日資料。最後，利用該模型計算一桶石油交付在未來一到十年的現值，並計算此現值對其兩個狀態變量（現貨價格與方便收益率）的避險比率。

    In recent years, oil energy has become an important topic. Global oil supply is growing slowly; the worry of supply ability is always the main factor to support high oil price. From the perspective of International oil traders, the oil supply growing rate is far away from the need to the market, the tension of the market can not be eased up thoroughly. We will explore convenience yield trends of crude oil delivered in one to ten years time. This research uses Brennan - Schwartz model (Brennan-Schwartz model). The factors are the spot price of oil and the instantaneous convenience yield. The parameters of model are estimated using daily light sweet crude oil futures prices from January 2, 1995 to February 18, 2011 on NYMEX. Finally, the model is applied to determine the present values of one barrel of oil delivered in one to ten years time, and calculate hedge ratios with respect to the two state variables of these present value factors(spot price and convenience yield).

    中文摘要 ..................................................................................................... i 英文摘要 ..................................................................................................... ii 致謝辭 ......................................................................................................... iii 目錄 ............................................................................................................. v 表目錄 ......................................................................................................... vii 圖目錄 ......................................................................................................... viii 符號說明 ...................................................................................................... ix 第一章 緒論 ................................................................................................ 1 第二章 文獻回顧 ........................................................................................ 4 2.1 方便收益率（Convenience Yield) ...................................................... 4 2.2 或有權利（Contingent Claims） ........................................................ 5 2.3 Brennan-Schwartz 模型 ....................................................................... 5 第三章 研究方法 ........................................................................................ 9 3.1 資料來源 ............................................................................................. 9 3.2 Brennan-Schwartz 模型參數估計 ....................................................... 10 3.3 估計市場價格的收益風險 ................................................................. 16 第四章 石油或有權利價格 ........................................................................ 19 第五章 結論 ................................................................................................ 25 參考文獻 ...................................................................................................... 26

    [1] B. Øksendal, Stochastic differential equations : an introduction with applica-tions, 6th ed., Springer, 2003.
    [2] D. Lund and B. Øksendal, Stochastic models and option values : applications to resources, environment and investment problems, North-Holland, 1991.
    [3] Les Clewlow and Chris Strickland, Implementing derivatives models, Wiley, 1998.
    [4] Nobuyuki Ikeda and Shinzo Watanabe, Stochastic differential equations and diffusion processes, 2nd ed., Elsevier North-Holland, 1989.
    [5] R. Gibson and E. S. Schwartz, Stochastic convenience yield and the pricing of oil contingent claims, Journal of Finance ,vol. XLV, no. 3,pp. 959-976,July 1990.
    [6] Schaefer, Stephen M., and Schwartz, Eduardo S., A Two-Factor Model of the Term Structure: An Approximate Analytical Solution, The Journal of Financial and Quantitative Analysis, vol. 19, no. 4, pp. 413-424, December 1984.
    [7] Trolle, A. B. and Schwartz, E. S., Unspanned stochastic volatility and the pric-ing of commodity derivatives, The Review of Financial Studies, vol. 22, no. 11 , pp. 4423-4461, 2009.

    QR CODE
    :::