期間結構模型在原油期貨與選擇權的訂價及避險之績效

Pricing and Hedging Crude Oil Futures Options with Term Structure Models

本文採用了期間模型來訂價及避險原油期貨選擇權，此模型考慮了期貨價格期間的結構及符合了持有成本的理論。在比較了數個模型後，發現一因子模型含著到期期間在波動函數裡，一致的比二因子模型，在樣本內及樣本外的訂價上好，然而二因子模型在避險上表現較佳。文中並發現參數多的模型在配適效果上比參數少的模型佳，但前者有過度配適不同履約價格之選擇權的現象。正確的表示期間模型能取代二項式模型在評價及避險不同到期間及履約價的原油選擇權。

Consistent with the cost-of-carry argument, term structure of futures prices is considered as a structure and modeled by term structure models to price and hedge crude oil futures options. After examining several competing models, it is found that one-factor models in conjunction with specification of time-to-maturity in the volatility function consistently outperform two-factor models in both in-sample and out-of-sample pricing, whereas two-factor models perform better in hedging. While models with more parameters tend to provide better in-sample fitting than models with fewer parameters, they tend to overfit to option prices across strikes. Correctly specifying term structure models can replace the binomial model in pricing and hedging crude oil options across strikes and maturities.