商品互换
- 网络commodity swap
商品互换-
商品互换及商品互换期权的定价
Pricing of commodity swaps and options on commodity swaps
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在考虑商品的便利收益情况下，探讨了商品互换及其期权的定价.对价格是随机的情形建立了单因素模型；
This paper explores the pricing of commodity swaps and options on commodity swaps in the presence of convenience yields .
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由此得到远期便利收益率漂移项的无套利约束，并利用此结论得到了商品互换的价格。我们证明了在远期模型中利率的随机性对商品互换的定价是有影响的。
From the pricing formulas , we can get the conclusion that the randomness of interest rate can affect the price of commodity swap .
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商品互换交易作为新兴的风险管理工具在能源类商品领域正在获得广泛的应用。
As a relatively new derivative financial tool , swap has been widely used in the risk management for sev-eral kinds of commodities in the energy field .