英文标题：
《Understanding the Non-Convergence of Agricultural Futures via Stochastic
Storage Costs and Timing Options》
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作者：
Kevin Guo and Tim Leung
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最新提交年份：
2017
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英文摘要：
This paper studies the market phenomenon of non-convergence between futures and spot prices in the grains market. We postulate that the positive basis observed at maturity stems from the futures holder\'s timing options to exercise the shipping certificate delivery item and subsequently liquidate the physical grain. In our proposed approach, we incorporate stochastic spot price and storage cost, and solve an optimal double stopping problem to give the optimal strategies to exercise and liquidate the grain. Our new models for stochastic storage rates lead to explicit no-arbitrage prices for the shipping certificate and associated futures contract. We calibrate our models to empirical futures data during the periods of observed non-convergence, and illustrate the premium generated by the shipping certificate.
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中文摘要：
本文研究了粮食市场期货价格与现货价格不收敛的市场现象。我们假设，到期时观察到的正基差源于期货持有人行使装运证书交付项目并随后清算实物谷物的时间选择权。在我们提出的方法中，我们考虑了随机现货价格和存储成本，并解决了一个最优双停问题，以给出行使和清算粮食的最优策略。我们的随机存储率的新模型为航运证书和相关期货合约提供了明确的无套利价格。我们根据观察到的非收敛期的经验期货数据对我们的模型进行了校准，并说明了航运证书产生的溢价。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Trading and Market Microstructure 交易与市场微观结构
分类描述：Market microstructure, liquidity, exchange and auction design, automated trading, agent-based modeling and market-making
市场微观结构，流动性，交易和拍卖设计，自动化交易，基于代理的建模和做市
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一级分类：Quantitative Finance 数量金融学
二级分类：Pricing of Securities 证券定价
分类描述：Valuation and hedging of financial securities, their derivatives, and structured products
金融证券及其衍生产品和结构化产品的估值和套期保值
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