本文使用美式選擇權的觀點分析西德州中級原油(WTI)現貨與期貨價差的便利收益所表現的資訊內涵以及其與波動性的關係，對於文獻上對於商品期貨便利收益假設及看法做實證分析，並利用計算出的隱含便利收益配合時間序列模型做波動性風險管理計算風險值（VaR）及價差交易策略，分析其經濟價值。 由於資產報酬率具有GARCH效果，本文利用Copula方法結合Duan(1995) GARCH選擇權定價模型，另外，為了計算美式選擇權有提早履約的權利，因此本文結合最小平方蒙地卡羅法，提出兩變量GARCH美式選擇權定價模型計算商品期貨便利收益。 最後，由於波動性是影響買權價值的顯著因子，因此可以對於期貨使用多變量波動性模型進行波動性預測，計算期貨之間的價差預期值以及期貨之間的價差的風險值。因此隱含便利收益的確具有波動性的資訊內涵。 This article examines empirically the behavior and determinants of convenience yield over time for three month oil commodities futures. Contrary to previous approaches, convenience yields are treated as call options with identifiable exercise price, time to maturity and underlying asset. The empirical results derived from the analysis of oil three month commodities futures data covering the period 1995 to 2005, are in line with previous evidence that convenience yields are negatively related to inventory levels. Furthermore, it is demonstrated that observed convenience yields are valued as call options according to an extension of the Black-Scholes option pricing model.
The pricing of commodity futures contracts is important both for professionals and academics. It is often argued that futures prices include a convenience yield, and this article uses a simple trading strategy and GARCH and Geometric Brownian motion to approximate the impact of convenience yields. The convenience yield approximation is both statistically and economically important in explaining variation between the futures price and the spot price after adjustment for interest rates.
