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1、基于期货-期权工具的宁夏枸杞市场风险管理研究摘要如今，随着生活质量的不断提升，人们自我保健的意识越来越强，市场对养生保健产品的需求日益增加枸杞作为一种价格适中、食用方便的药材，有着显著的药用价值，受关注度逐年增高但是，在枸杞产业发展的过程中，存在枸杞价格波动比较大的现象这不仅影响到消费者的利益，还关系到枸杞产业上下游企业的健康发展因此分析枸杞价格波动情况，有效管理枸杞的价格风险是很有必要的目前，科技发展在枸杞产业方面的应用，使得生产者面临的自然灾害风险逐渐弱化但是枸杞价格调节滞后性带来的价格风险往往无法避免，这是目前产业发展面临的主要市场风险新时期枸杞产业的发展，应更加重视市场的调节作用，将枸
2、杞期货期权产品运用至枸杞市场风险管理，充分发挥期货期权的价格发现和风险规避功能，引导枸杞产业发展，进而稳定市场2015年2月，上交所推出了上证50ETF期权，这标志着中国资本市场的期权时代正式到来在我国，目前期权市场还不完善，交易的活跃度低，然而，对于资本市场而言，推出期权有利于融资功能的完善，能够有效的进行风险对冲，满足投资者的需求从第一份标准化期权合约推出开始，期权由最简单的欧式期权衍生出了美式期权，由美式期权又衍生出了更复杂的亚式期权，其发展过程是一个不断更新的过程，品种越来越丰富，定价也越来越复杂至于期权交易过程中涉及到的标的资产，同样也是越来越丰富，一开始只是将股票作为标的资产，后来
3、又推出了以股票指数作为标的资产的期权合约，之后扩展到外汇和利率，新推出的商品期权则是将期货合约作为标的资产作为市场对冲风险的有效工具，期权等金融衍生工具在金融创新的过程中将得到持久的发展本文首先基于宁夏银川天气数据，建立均值回归模型进行模拟，设计了一份基于采暖指数和制冷指数的天气期权合约随后分析了宁夏天气与枸杞价格数据之间的相关性，在学者对枸杞产业研究的文献基础上，选取交易所枸杞现货结算价格的历史数据为研究对象，构建Heston随机波动率模型对枸杞价格的波动进行模拟，并对Heston模型进行参数估计尝试设计基于枸杞价格的期货期权合约，形成一个从现货到期货再到期权的完整体系，助力中国衍生品市场的
4、发展关键词：市场风险；均值回归模型；天气期权；Heston模型；期货期权AbstractNowadays, with the continuous improvement of peoples living standard, the awareness of self-health care has been gradually enhanced, and the demand of health care products is increasing day by day. As a kind of medicine with moderate price and convenient c
5、onsumption, lyceum has obvious medicinal value and attracts more and more attention year by year. However, in the process of the development of Chinese wolfberry industry, the price of Chinese wolfberry fluctuates greatly. This not only affects the interests of consumers, but also relates to the hea
6、lthy development of Chinese wolfberry industry upstream and downstream enterprises. Therefore, it is necessary to analyze the price fluctuation of Chinese wolfberry and manage the price risk of Chinese wolfberry effectively. At present, the application of science and technology development in Chines
7、e wolfberry industry makes the natural disaster risk faced by producers weaken gradually. However, the price risk caused by the lag in price adjustment of lyceum is often unavoidable, which is the main market risk in the current development process of the industry. In the new period, we should pay m
8、ore attention to the regulating role of the market during the development of lyceum industry, apply lyceum futures option products to the risk management of lycium market, give full play to the function of price discovery and risk avoidance of futures option, guide the development of lycium industry
9、, and then stabilize the market.In February 2015, Shanghai Stock Exchange launched 50ETF options trading, which marked the beginning of the options era in Chinas capital market. At present, the option market is not perfect, and the transaction of options is not active, but for Chinas capital market,
10、 the launch of options is conducive to the completion of the financing function, can effectively carry out risk hedging and meet the needs of investors. With the introduction of first standardized options trading contracted, options have derived American options from the simplest European options, a
11、nd more complex Asian options from American options. The development of options is a process of continuous renewal, with more and more varieties and more complex pricing. As for the underlying assets of options, their varieties are also richer than before. At the beginning, the underlying asset is t
12、he stock, later the option contract with stock index as the underlying asset was launched, and then extended to foreign exchange and interest rate. The newly launched commodity option is to take the futures contract as the underlying asset. As an effective tool for market risk hedging, options and o
13、ther financial derivatives will be developed for a long time in the process of financial innovation.Firstly, based on the weather data of Yinchuan, we establish a mean regression model for simulation, and design a weather option contract based on heating index and refrigeration index. Then we analyz
14、e the correlation between the weather data and the price data of lycium in Ningxia. Based on the scholars literature of the lycium industry, we select the spot settlement price of lycium on the exchange as the research object, construct the Heston random volatility model to simulate the price fluctu
15、ation of lycium, and carry out the parameter estimation of the Heston model. We try to design the futures option contract based on the price of Chinese wolfberry, so as to form a complete system from spot to futures to options, and help the development of Chinas derivatives market.Keywords: Market R
16、isk; Mean-reversion Model; Weather Options; Heston Model; Futures Options目 录摘要IAbstractII目 录IV第一章 绪 论11.1 研究背景和意义11.2 研究现状综述11.2.1 国内枸杞产业风险管理现状21.2.2 小宗农产品价格异动的研究现状21.2.3 农产品期货市场的研究现状31.2.4 期权定价方法的研究现状41.2.5 新型期权设计与定价的研究现状51.3 本文主要内容61.4 本文创新之处6第二章 理论基础62.1 随机过程62.1.1 布朗运动72.1.2 伊藤定理92.1.3 Feynman-Kac公式102.1.4 Girsanov定理112.2 贝叶斯统计122.3 随机波动率模型及参
