价差期权的合约设计、定价与实证分析——基于冶炼价差期权的应用

Contract Design, Pricing and Empirical Analysis of Spread Option: Application of Spread Option in Metallurgical Refinery

中文关键词:  价差期权  冶炼价差  期权定价  合约设计  现货期权  期货期权

英文关键词:spread option  metallurgical refinery spread  option pricing  contract design  physical option  futures option

中文摘要:

      研究价差期权的合约设计及其定价方法,对于提高我国各类经济实体的风险管理水平以及我国衍生品市场的未来发展具有重要意义。依据我国螺纹钢与铁矿石等冶炼价差的统计特征,借鉴国外价差期权定价方法,对冶炼价差期权的实际价值、理论价格进行了测算,结果表明:在冶炼价差期权中,螺纹钢与铁矿石的价差、钢坯与铁矿石的价差的绝对变化幅度更大,对应的价差期权的实际价值更大,对应的套保需求会更大；与铁矿石有关的价差(螺纹钢与铁矿石、钢坯与铁矿石)期权的套保效果更好。建议先行推出螺纹钢与铁矿石、钢坯与铁矿石这两种冶炼价差期权。

英文摘要:

      The research on contract design and pricing method of spread option is of great significance to the improvement of risk management level in China's various economic entities and for the future development of China's derivatives market. According to the statistical characteristics of spread in China's metallurgical refinery such as rebar, iron ore, etc., with reference to the pricing method of spread option abroad, this paper measures the actual value and theoretical price of spread option in metallurgy refinery. The results show that in spread option of metallurgy refinery, the greater the absolute change rate of price difference between rebar and iron ore or price difference between billet and iron ore, the greater the actual value of corresponding spread option and the greater the corresponding hedging demand. The hedging effect of spread option related to iron ore (e.g. rebar and iron ore, billet and iron ore) would be better. It suggests the first two kinds of spread option of metallurgy refinery:spread option of rebar and iron ore and spread option of billet and iron ore. 