Delivery Option Analysis And Influence Research Of Commodity Futures

To increase the number of the products available for delivery and reduce the risk of the centralized delivery, the contracts focus on the standard products may offer the short position the deliveru options. But all the options attribute to the short position may also lead to the uncertainty for the delivery process and may bring receiving risk to the long position. When bidding for the futures contracts with delivery options, the long position may hold down prices for making up the additional risk from the delivery options including quality, location and time. So the delivery options may affects prices of the futures contracts and may impact on the function of hedge and the effectiveness of the futures markets. The research about the value of the delivery option and effect on the market efficiency has become a common concern theoretically and practically.Based on the options, this paper combined with the option theory and make further innovation to explores influence of the delivery option on the market efficiency. And this paper applied the research results to the practice of delivery rules adjustment.This paper studied the influence of the joint option on the market efficiency under different conditions, which broaden existing research perspective and enrich the theory of the delivery design. And this paper established the models to analyze the value of the delivery options and explored the influence of the delivery options on market and the improvement measures. The result may offer the quatitive basis for the delivery rule design, increase the market efficiency and serve for the industry, which may have practical significance. So this research has very important practical significance and theoretical valueThis paper has six chapters. And chapter one is the introduction. And we analyze the characteristic and roots of the delivery option of Dalian Commodity Exchange (DCE) in chapter two. The delivery options of DCE are discussed in chapter three. And this paper explores the influence of the delivery option on the market effectiveness in chapter four. Furthermore, we put forward the adjustment of delivery rule and evaluate its effectiveness in chapter five. Chapter six is the conclusions and prospectsThe main contributions:We make systematic analysis on the delivery options of DCE and establish the mathematical model to study the quality and time option. Moreover, we use the data of DCE’s bean pulp futures contracts to evaluate the value of the location option. Based on the trigeminal tree model to construct the joint option. the deduce result proves that the value of the joint potion may be affected by several parameters instead of the single one.This paper discussed the delivery options for buyers of futures contracts. From the perspective of shipping certificates delivery system, a simulation model is built to calculate the delivery option values by introducing convenience yield theory. The impact on the option values of the variation to key parameters is then estimated.We utilize the verifying schema upon the market effectiveness and introduce the variables such as inventory cost, delivery basis, and risk premium. We discuss the influence of the whole delivery option on the market effectiveness. The result proves that in the loosest situation the bean pulp futures contracts may have6.9%risk premium. The delivery option of the bean pulp may make the buyer of the future contracts exposed to higher delivery risk and can hardly lead the price of the future contracts to forecast the price of the spot market.Based on the regional integration measure, we adjust the premiums and discounts setting to improve the hedge efficiency under the condition of the convergence of the future contracts. From the perspective of minimum distance and priority for the buyer, we utilize the linear programming model to adjust the pair method of the delivery and evaluate the effectiveness of the adjustment...