Convenience yield

Option Pricing of Daily Convenience Yield for Commodity and Its Empirical Analysis

商品日便利收益的期权定价及实证分析

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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.

本文根据国外便利收益理论，深入研究便利收益的期权性质及其定价，并采用修正的Black-Scholes期权定价模型对中国期货便利收益进行分析。

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We also found that the convenience yield was positively correlated to the spot price but negatively correlated to spot volatility.

我们也发现便利收益跟现金价格有显著的正相关关系但是跟波动率却有显著的负相关关系。

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Moreover, empirical studies on the convenience yield in commodity markets, and even more in the carbon market, remain scant.

因此关于商品市场的便利收益的实证研究很少，而关于碳市场的情况更甚。

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two-factor model of valuating mining rights of coal resources under the condition of stochastic convenience yield

基于随机便利收益的煤炭资源采矿权估价两因素模型

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We first examined the mean reversion of convenience yield by regression analysis, the empirical results in line with our expectations, indicating there truly exist of mean reversion, it shows that spot market may also exist of mean reversion.

本文首先通过运用回归分析法检验了便利收益均值回复性，实证结果符合之前所提出的假设预期，说明便利收益确实存在均值回复性，这也表明市场上的现货价格可能存在均值回复性。

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Second, we provided an empirical analysis of the EUA convenience yield in the EU ETS and studied its dependence on factors such as the spot price level and volatility.

第二，我们通过对欧盟排放配额便利收益的实证分析，发现现金价格和波动率是其重要的影响因素。

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Both papers study the convenience yield of EUA futures using data available during the first phase of the EU ETS.

两篇文章利用EU ETS第一阶段的数据来分析欧盟排放配额期货的便利收益。

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The merit of the approach lies in convenience, high yield rate, satisfactory isolating effect, and the method is well suited to chemistry experiment teaching.

该方法的优点在于简便易行，得率较高，分离效果好，适合用于化学实验教学中。

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