基于随机仓储成本和时间期权的农产品期货非收敛性研究
Understanding the Non-Convergence of Agricultural Futures via Stochastic Storage Costs and Timing Options
摘要：
本文研究了粮食市场中期货价格与现货价格不收敛的市场现象。我们假设，在到期日观察到的正基差源于期货持有人的时间选择权，行使航运证书交付项目，随后清算实物谷物。在我们所提出的方法中，我们将随机现货价格和存储成本，并解决一个最佳的双停止问题，以给出最佳的策略，行使和清算的粮食。我们的新模型随机存储率导致明确的无套利价格的航运证书和相关的期货合约。我们校准我们的模型，经验期货数据在观察到的非收敛期间，并说明了所产生的溢价的航运证书。
英文摘要：
This paper studies the market phenomenon of non-convergence between futures and spot prices in the grains market. We postulate that the positive basis observed at maturity stems from the futures holder's timing options to exercise the shipping certificate delivery item and subsequently liquidate the physical grain. In our proposed approach, we incorporate stochastic spot price and storage cost, and solve an optimal double stopping problem to give the optimal strategies to exercise and liquidate the grain. Our new models for stochastic storage rates lead to explicit no-arbitrage prices for the shipping certificate and associated futures contract. We calibrate our models to empirical futures data during the periods of observed non-convergence, and illustrate the premium generated by the shipping certificate.
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