| 摘要: |
| 引人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%。 |
| 关键词: 汇率 期货 跳跃扩散过程 偏微分方程 |
| DOI： |
| 分类号: |
| 基金项目:国家“973 ”项目(2004CB318000) |
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| Research on futures price with stochastic exchange rate based on three factors |
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YAN Wei1,LI Shu-rong1,GUO Yong-heng2
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(1. College of Information and Control Engineering in China University of Petroleum,Dongying 257061，China;2. Great Wall Drilling Corporation, Beijing 100101, China)
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| 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 thre^-factor futures price model is accurate, and the maximum relative error is 3.112%. |
| Key words: exchange rate futures jump-diffussion process partial differential equation |
