Options Pricing of the Convenience Yield for Futures and Its Demonstration
Zhixin Liu · Zhongguo guanli kexue · 2006
This article applies an extension of the Black-Scholes option pricing model,which is based on the foreign theory of convenience yield,to portray the character of convenience yield in Chinese futures market.The results show that the convenience yield can be seen as a call option in characters and priced by option pricing model.Futhermore,the convenience yield in Chinese futures market shows some specialties different from the theory.