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英文文献：Commodity derivatives pricing with inventory effects-商品衍生品定价与库存效应
英文文献作者：Christian Bach,Matt P. Dziubinski
英文文献摘要：
We introduce tractable models for commodity derivatives pricing with inventory and volatility effects, and illustrate with applications to the oil market. We contribute to the existing literature in several respects. First, whereas the previous literature uses futures data for investigating the relationship between inventory and volatility, we use the information available in options traded on futures. Second, performance assessment in the previous literature has primarily evolved around explaining moments of data or forecasting prices of futures. Instead, we assess the performance of our model by considering both the ability of explaining prices in-sample and out-of-sample - assessing both the pricing-performance and the hedging-performance of the models. Third, we model the futures surface rather than the spot price process, and from the no-arbitrage relationship between spot and futures prices we limit the number of parameters to calibrate. We introduce a new, maturity-wise calibration method compatible with this modeling methodology. Fourth, we use actual data on inventories rather than a proxy. Fifth, our model is very flexible and allows for testing several different types of relationships between inventory and volatility.
我们介绍了具有库存和波动效应的商品衍生品定价的可处理模型，并在石油市场的应用中加以说明。我们在几个方面对现有的文献有所贡献。首先，以往的文献使用期货数据来研究存货和波动率之间的关系，而我们使用的是在期货交易的期权中可用的信息。其次，以往文献中的绩效评估主要是围绕着解释数据时刻或预测期货价格展开的。相反，我们通过考虑在样本内和样本外解释价格的能力来评估我们的模型的性能——评估模型的价格性能和hedgperformance。第三，我们建立了期货表面而不是现货价格过程的模型，并且从现货和期货价格之间的无套利关系出发，我们限制了校准参数的数量。我们介绍了一种新的，成熟的校准方法兼容这种建模方法。第四，我们使用存货的实际数据，而不是代理数据。第五，我们的模型非常灵活，允许测试库存和波动性之间的几种不同类型的关系。
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