Model and verify the Incomplete degree of Commodity Futures with Stochastic Convenience Yield

摘要

Unlike the traditional pricing model of commodity futures under the complete market assumption,this paper proposes a commodity futures pricing model based on stochastic convenience yield,which takes into account the incomplete market and the Poisson jump of the spot price by relating random discount rate to convenience yield.The parameters of the model are estimated by the method of Kalman Filter and Maximum Likelihood Estimator.The model is applied to the copper futures traded in Shanghai Futures Exchange.The result indicates that the volatility due to the incomplete degree of the futures market in Shanghai Futures Exchange can be attributed to the stochastic convenience yield.