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首页> 外文期刊>WSEAS Transactions on Systems >Convenience Yields and Options Value of Exchanging different-maturity Futures Contracts Implied from Emissions Allowances Futures Market
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Convenience Yields and Options Value of Exchanging different-maturity Futures Contracts Implied from Emissions Allowances Futures Market

机译：排放配额期货市场所隐含的交换不同到期日期货合约的便利收益率和期权价值

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摘要

Our results find that futures contracts with different maturities for emissions allowances exhibit a significant cointegration relationship by using two-step EG model, similar market information has a convergent effect on prices spreads of futures contracts with different maturities. Convenience yields implied from the futures markets exhibit a significant options property. Convenience yields are call or put options, based on extending exchange options pricing model, market participants flexibly optimize assets portfolio sizes between the nearby and distant futures contracts using the options property of convenience yields for emissions allowances, and then they can achieve excess market investment revenues.
机译：我们的结果发现，通过使用两步EG模型，具有不同期限的排放配额的期货合约表现出显着的协整关系，相似的市场信息对具有不同期限的期货合约的价格价差具有收敛的影响。期货市场隐含的便利收益率显示出重要的期权属性。便利收益是看涨期权或看跌期权，基于扩展的交换期权定价模型，市场参与者使用便利收益率的期权属性来灵活地优化附近和远期期货合约之间的资产组合规模，然后他们可以实现超额市场投资收益。

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