2011, ISBN: 9783843392655

[ED: Taschenbuch / Paperback], [PU: LAP Lambert Academic Publishing], The world oil prices have raised and fluctuated a lot during the past ten years. In order to hedge the risks, develop… More...

[ED: Taschenbuch / Paperback], [PU: LAP Lambert Academic Publishing], The world oil prices have raised and fluctuated a lot during the past ten years. In order to hedge the risks, developing Chinese petroleum futures market is important. However, lacking pricing system is a main issue. In this paper, I use the two-factor model and a seemingly unrelated regression method from Gibson & Schwartz (1990) to price China's one-month crude oil future contract. First, I estimate the future prices by assuming that China has the same convenience yield as the U.S. market. Second, I study the possibilities of real convenience yield in China based on macroeconomic analysis. Third, arbitrage theory provides the reasonable future prices. In the end, statistical tests prove that the calculated China's crude oil future prices have the price discovery function for the Daqing spot prices and the ability of hedging international oil shocks. This work should be useful to professioinals in asset pricing and commodity derivatives fields, or anyone else who may be considering commodity market as a interest., DE, [SC: 0.00], Neuware, gewerbliches Angebot, 60, Selbstabholung und Barzahlung, PayPal, Offene Rechnung, Banküberweisung, Internationaler Versand<

2011, ISBN: 384339265X

[EAN: 9783843392655], Neubuch, [SC: 0.0], [PU: LAP Lambert Academic Publishing], Druck auf Anfrage Neuware - The world oil prices have raised and fluctuated a lot during the past ten year… More...

[EAN: 9783843392655], Neubuch, [SC: 0.0], [PU: LAP Lambert Academic Publishing], Druck auf Anfrage Neuware - The world oil prices have raised and fluctuated a lot during the past ten years. In order to hedge the risks, developing Chinese petroleum futures market is important. However, lacking pricing system is a main issue. In this paper, I use the two-factor model and a seemingly unrelated regression method from Gibson & Schwartz (1990) to price China's one-month crude oil future contract. First, I estimate the future prices by assuming that China has the same convenience yield as the U.S. market. Second, I study the possibilities of real convenience yield in China based on macroeconomic analysis. Third, arbitrage theory provides the reasonable future prices. In the end, statistical tests prove that the calculated China's crude oil future prices have the price discovery function for the Daqing spot prices and the ability of hedging international oil shocks. This work should be useful to professioinals in asset pricing and commodity derivatives fields, or anyone else who may be considering commodity market as a interest. 60 pp. Englisch, Books<

ISBN: 9783843392655

The world oil prices have raised and fluctuated a lot during the past ten years. In order to hedge the risks, developing Chinese petroleum futures market is important. However, lacking pr… More...

The world oil prices have raised and fluctuated a lot during the past ten years. In order to hedge the risks, developing Chinese petroleum futures market is important. However, lacking pricing system is a main issue. In this paper, I use the two-factor model and a seemingly unrelated regression method from Gibson &, Schwartz (1990) to price China's one-month crude oil future contract. First, I estimate the future prices by assuming that China has the same convenience yield as the U.S. market. Second, I study the possibilities of real convenience yield in China based on macroeconomic analysis. Third, arbitrage theory provides the reasonable future prices. In the end, statistical tests prove that the calculated China's crude oil future prices have the price discovery function for the Daqing spot prices and the ability of hedging international oil shocks. This work should be useful to professioinals in asset pricing and commodity derivatives fields, or anyone else who may be considering commodity market as a interest. Bücher, Hörbücher & Kalender / Bücher / Sachbuch / Wirtschaft<

ISBN: 384339265X

Pricing China''s Crude Oil Futures ab 48.99 € als Taschenbuch: Analyze the Prospects of Chinese Petroleum Futures Market. Aus dem Bereich: Bücher, Wissenschaft, Wirtschaftswissenschaft, M… More...

Pricing China''s Crude Oil Futures ab 48.99 € als Taschenbuch: Analyze the Prospects of Chinese Petroleum Futures Market. Aus dem Bereich: Bücher, Wissenschaft, Wirtschaftswissenschaft, Medien > Bücher, LAP LAMBERT Academic Publishing<

2011, ISBN: 384339265X

Kartoniert / Broschiert, mit Schutzumschlag 11, [PU:LAP LAMBERT Academic Publishing]