Drift matters: An analysis of commodity derivatives
提出一个双均值回归因子的商品衍生品定价模型，在原油市场实证中优于传统模型，尤其改善长期合约的定价与对冲效果，对长期商品关联资产估值有重要参考价值。
This article presents a reduced-form, two-factor model to price commodity derivatives, which generalizes the model by Schwartz and Smith (2000). The model allows for two mean-reverting stochastic factors and therefore implies that spot and futures prices can be stationary. An empirical study for the crude oil market tests the new model. Out-of-sample pricing and hedging results for futures and forwards show that the new model dominates the nonstationary model by Schwartz and Smith in the following sense: It works equally well for short-term contracts but leads to major improvements for long-term contracts. This finding is particularly relevant for typical applications like the valuation of commodity-linked real assets with long maturities. © 2005 Wiley Periodicals, Inc. Jrl Fut Mark 25:211–241, 2005