캬웕톶 ꆶ《뺭经볃济쪦师?}?2?0?08?쓪年第뗚?1웚期?ꇱ.证횤券좯市쫐场뎡?짌욷口商口口?期웚货믵与폫现쿖货믵价볛格룱关맘系쾵研퇐究뺿综ퟛ述쫶?·ꇱ퇮杨헕照뚫东汪췴琛뗂德宋쯎娜쓈娜쓈?摘햪要튪:ꎺ文컄章헂从듓静뺲态첬和뫍动뚯态첬两솽方랽面쏦对뛔商짌品욷价볛格룱期웚限쿞结뷡构릹的뗄研퇐究뺿理샭?뗄的;ꎻ퓚在쿖现믵货짽升쮮水훐中，ꎬ믹基닮差쫇是뇤变뚯动뗄的，ꎬ틲因캪为퓚在헢这훖种쟩情뿶况쿂下，ꎬ뿢库듦存늻不쓜能吸컼收쫕价볛?论싛基믹뒡础做ퟶ出돶分럖析컶，ꎬ틔以듋此캪为믹基뒡础，ꎬ뛔对짌商욷品볛价룱格웚期쿞限结뷡构릹模쒣型탍的뗄构릹建붨前잰提쳡、ꆢ?格룱的뗄变뇤动뚯。ꆣ这헢훖种럇非뛔对돆称탔性뛔对뇣便샻利쫕收틦益뗄的뚯动첬态有폐一튻定뚨启웴示쪾。ꆣ仓닖储뒢理샭论싛研퇐?랽方法램和뫍뾼考虑싇因틲素쯘进뷸行탐说쮵明쏷，ꎬ늢并뻍就맺国췢外톧学헟者뛔对商짌品욷价볛格룱期웚限쿞结뷡构릹单떥因틲素쯘、ꆢ?究뺿的뗄一튻个룶重훘튪要늿部럖分쫇是뛔对뇣便샻利收쫕틦益的뗄뚨定义틥与폫分럖析컶。ꆣ헢这一튻概룅念쓮是쫇商짌品욷价볛格룱?쮫双因틲素쯘和뫍三죽因틲素쯘쒣模型탍的뗄研퇐究뺿给룸与폫全좫面쏦分럖析컶和뫍介뷩绍짜，ꎬ以틔一튻个룶较뷏系쾵统춳、ꆢ有폐逻싟?期웚限쿞结뷡构릹分럖析컶的뗄中훐心탄。ꆣ在퓚金뷰融죚市쫐场뎡上짏，ꎬ뇣便샻利收쫕益틦对뛔应펦于폚债햮券좯的뗄息쾢票욱，ꎬ或믲?벭辑的뗄框뿲架볜，ꎬ뛔对맺国췢外짌商욷品볛价룱格웚期쿞限뷡结构릹퇐研究뺿进뷸行탐了쇋充돤分럖分럖析컶和뫍完췪整헻介뷩绍짜。ꆣ?是쫇股막票욱组ퟩ合뫏的뗄红뫬利샻。ꆣ?关맘键볼词듊:ꎺ웚期믵货볛价格룱?现쿖货믵价볛格룱?仓닖储뒢理샭论싛?使뇣利샻收쫕益틦?商짌品욷价볛?就뻍仓닖뒢储理샭싛论뛸而퇔言，ꎬ쯼它쫗首쿈先뾼考싇虑웚期믵货짽升쮮水뫍和쿖现믵货짽升쮮水웚期限쿞结뷡构릹的뗄存듦?룱格期웚限쿞结뷡构릹?퓚在。ꆣ퓚在헢这훖种쟩情况뿶쿂下，ꎬ돶出쿖现듋此쿖现쿳象쫇是틲因캪为짌商욷品릩供룸给뫍和탨需쟳求的뗄季벾节뷚性탔。ꆣ例샽?훐中国춼分럖类샠号뫅:Fꎺ?8?30?、ꆢ9??文컄献쿗뇪标识쪶码싫ꎺ:?A?죧如，ꎬ튻一룶个뛌短웚期쿖现믵货짽升쮮水믲或튻一룶个웚期믵货짽升쮮水뗄的듦存퓚在뿉可틔以뛔对얩农닺产品욷购릺销쿺进뷸行탐?文컄章헂编뇠号뫅:ꎺ?10?0?4? ꆪ-?4?91??4(?2?0?0??8)?0?1? ꆪ-1?2?3? ꆪ-?0?2? 헢这퇹样的뗄解뷢释쫍:ꎺ퓚在ퟷ作컯物짺生닺产年쓪度뛈结뷡束쫸时쪱，ꎬ뿢库듦存듯达到떽了쇋更룼低뗍的뗄水쮮平욽。ꆣ那쓇时쪱，ꎬ?퓚在收쫕믱获잰前后뫳的뗄交붻割룮웚期믵货价볛格룱反랴映펳了쇋两솽种훖不늻同춬的뗄情쟩况뿶:ꎺ퓚在收쫕获믱前잰存듦在퓚可뿉?죎任튻一붻交割룮日죕쿖现믵货볛价룱格폫与웚期믵货볛价룱格뗄的맘关쾵系뿉可뚨定틥义캪为짌商品욷볛价룱格期웚限쿞结뷡?供릩交붻割룮货믵物컯的뗄短뛌缺좱，ꎬ캴未살来떽到웚期뫏合풼约뗄的볛价룱格表뇭现쿖为캪现쿖货믵升짽水쮮;ꎻ쫕收获믱后뫳交붻割룮?릹构。ꆣ由평폚于쯼它ퟛ综뫏合쇋了쫐市뎡场짏上可뿉获믱得뗃的뗄信탅息쾢和뫍市쫐场뎡参닎与폫者헟对뛔未캴来살的뗄预풤期웚，ꎬ?价볛格룱뇭表쿖现캪为웚期货믵升짽水쮮。ꆣ因틲此듋，ꎬ닖仓뒢储샭理싛论뷢解决뻶了쇋价볛格룱关맘系쾵的뗄跨뿧时쪱分럖析컶。ꆣ?틲因뛸而캪为웚期믵货쫐市뎡场뗄的쳗套웚期놣保횵值믲或춶投믺机붻交易틗提쳡供릩了쇋有폐价볛值횵的뗄信탅息쾢，ꎬ폐有利샻于폚?然좻而뛸，ꎬ떱当뫏合풼约떽到웚期죕日뎬超맽过튻一룶个믲或솽两룶个짺生닺产周훜期웚时쪱，ꎬ헢这룶个샭理싛论뗄的解뷢释쫍是쫇否럱?뛔对쿖现믵货쫐市뎡场짏上的뗄볛价룱格럧风险쿕进뷸行탐回믘避뇜或믲者헟据뻝此듋调뗷整헻存듦货믵水쮮平욽和뫍生짺产닺率싊，ꎬ?依틀旧뻉管맜用폃呢쓘?为캪此듋，ꎬ必뇘须탫引틽人죫期웚限쿞结뷡构릹动뚯态첬分럖析컶。ꆣ?틔以벰及캪为믹基폚于웚期믵货뫏合풼约뗄的퇜衍짺生욷品릤工具뻟估맀值횵。ꆣ在퓚许탭多뛠期웚货믵市쫐场뎡上짏，ꎬ웚期限쿞结뷡?뛾二、ꆢ짌商욷品볛价룱格웚期쿞限뷡结릹构뚯动첬态分럖析컶?构릹的뗄룅概쓮念횮之쯹所틔以훘重튪要ꎬ，쫇是틲因캪为웚期믵货뫏合풼约뗄的쿖现믵货탔性쯦随ퟅ着쫐市뎡场떽到웚期时쪱间볤的뗄?商짌品욷볛价룱格曲쟺쿟线뗄的뚯动첬态ퟮ最훘重튪要뗄的쳘特뗣点쫇是ퟮ最뷼近뫏合约풼月퓂与폫后뫳续탸合뫏约풼月퓂价볛?临쇙近뷼而뛸增퓶加볓。ꆣ?格룱行탐为캪的뗄닮差뇰别。ꆣ쿖现믵货퓂月뫏合풼约볛价格룱波늨动뚯幅럹度뛈巨뻞大듳而뛸不늻确좷定뚨，ꎬ而뛸远풶期웚合뫏约풼?튻一、ꆢ짌商욷品볛价룱格웚期쿞限뷡结릹构뺲静첬态分럖컶析?价볛格룱늨波뚯动쿠相뛔对컈稳뚨定ꆣ。헢这떼导훂致쇋了퇘沿ퟅ着볛价룱格曲쟺线쿟减복少짙的뗄波늨动뚯图춼形탎。ꆣ实쪵际볊?쿖现믵货짽升水쮮是쫇횸指쿖现믵货볛价룱格룟高폚于웚期믵货볛价룱格뗄的쓦逆向쿲쫐市뎡场或믲倒떹价볛市쫐场뎡。ꆣ期웚?上짏，ꎬ웚期믵货볛价룱格뗄的랽方닮差폫与ퟮ最뷼近웚期믵货뫏合풼约볛价룱格폫与뫳后탸续뫏合풼约볛价룱格的뗄相쿠关맘性탔随쯦?货믵升짽쮮水是쫇指횸远풶期웚价볛格룱、ꆢ웚期믵货볛价룱格룟高폚于쿖现믵货볛价格룱的뗄正헽向쿲市쫐场뎡或믲顺쮳价볛市쫐场뎡。ꆣ?着ퟅ뫏合풼约떽到웚期时쪱间볤的뗄临쇙近뷼而뛸下쿂降붵，ꎬ헢这一튻现쿖象쿳通춨常뎣被놻称돆作ퟷ"ꆰ也??m?u?e??l?so?n效킧?标뇪准ힼ的뗄쿖现믵货짽升쮮水뫍和닖仓뒢储샭理싛论췹往췹往놻被폃用살来뷢解쫍释짌商욷品쫐市뎡场쿖现货믵与폫期웚货믵价볛格룱?应펦"ꆱꆣ。평由폚于뛔对뷼近웚期뫏合풼约볛价룱格뗄的돥冲믷击믡会뛔对뫳后续탸的뗄合뫏约풼价볛格룱产닺生짺影펰响쿬，ꎬ随쯦着ퟅ?뗄的맘关쾵系ꆣ。쿖现믵货짽升쮮水샭理싛论벯集훐中럖分컶析쳗套웚期놣保횵值닖仓캻位폫与웚期믵货쫐市场뎡的뗄风럧险쿕转移틆?合뫏约풼到떽期웚日죕的뗄临쇙近뷼，ꎬ헢这훖种뛔对뫳后탸续뫏合约풼价볛格룱的뗄影펰响쿬逐훰渐붥减복少짙。ꆣ实쪵际볊上짏，ꎬ由평?릦功能쓜，ꎬ뛸而닖仓뒢储샭理싛论퓲则믹基폚于닖仓뒢储돉成놾本쳡提出돶了쇋튻一个룶理샭论싛解뷢释쫍。ꆣ更룼准ힼ确좷地뗘说쮵，ꎬ?폚于期웚货믵价볛格룱与폫现쿖货믵价볛格룱最ퟮ终훕趋쟷向쿲一튻致훂，ꎬ当떱期웚货믵合뫏约풼达듯到떽到떽期웚日죕时쪱，ꎬ它쯼们쏇?期웚货믵价볛룱格的뗄뻶决뚨定틲因쯘素럖分뇰别쫇是쿖现货믵价볛格룱、ꆢ뇣便샻利쫕收틦益뫍和닖仓뒢储成돉本놾。ꆣ后뫳者헟包냼?对뛔信탅息쾢冲돥击믷的뗄랴反应펦믡会룼更잿强쇒烈ꆣ。펰影쿬响쟺曲쿟线뛌短웚期늿部럖分뗄的볛价룱格죅扰뚯动살来自ퟔ于폚现쿖?삨括뒿纯닖仓뒢储돉成놾本뫍和닆财컱务돉成놾本ꆣ。닖仓뒢储샭理싛论럖分컶析훘重뗣点실落퓚在뷢解쫍释돖持폐有쿖现믵货的뗄原풭?믵货市쫐场뎡的뗄需탨求쟳和뫍供릩给룸冲돥击믷。ꆣA?n?d?e?r?s?o?n?( 1??98?5? ?)ꆢ、?Mi?l?o?n皿?(?1??9?86?)?ꆢ、?Fa?r?r回?和뫍?因틲，ꎬ틔以듋此뷢解쫍释짌商욷品쫐市뎡场짏上웚期믵货폫与쿖现믵货뗄的맘关쾵系ꆣ。럖分컶析웚期믵货쫐市뎡场与폫现쿖货믵市쫐??Fr?e??nc??h(?1??98?7?)?퓸曾뺭经以틔实쪵횤证럖分컶析횧支돖持쇋了탭许多뛠商짌品욷뫍和뷰金죚融资닺产的뗄这헢一튻假볙说쮵ꆣo?뎡场횮之间볤뗄的쳗套샻利닙操ퟷ作뿉可틔以뷢解쫍释틽引웰起웚期믵货짽升쮮水뫍和쿖现货믵升짽水쮮的뗄机믺制훆。ꆣ实쪵际볊??De?a??t?o?n뫍和La?r??o?q??u?e(?1??9?92?、ꆢ?1?99?6?)?与폫?Ch?a?m?b?e?r?s?和뫍B?a?i?l?e?y(?1??9?96?)?证횤明쏷S?a??mu?e?lꆪ?上짏，ꎬ웚期믵货짽升쮮水놻被쿞限훆制캪为떱当잰前죕日폫与뫏合풼约떽到웚期日죕횮之间볤的뗄存듦储뒢成돉本놾，ꎬ춬同쪱时也튲说쮵??s?o?n效킧应펦쫇是仓닖储뒢成돉本놾的뗄函몯数쫽，ꎬ뻟具쳥体뛸而퇔言，ꎬ튻一룶个뷏较룟高뗄的닖仓뒢储돉成놾本떼导致훂相쿠对뛔?明쏷了쇋퓚在헽正횵值믲或뢺负횵值솽两훖种쟩情뿶况쿂下，ꎬ믹基닮差뗄的뇭表쿖现튲也늻不튻一퇹样ꆣ。뛸而헢这훖种쿞限制훆对뛔?룼更低뗍的뗄集벯中훐跨뿧期웚向쿲库뿢存듦传뒫递뗝。ꆣF?a??m?a和뫍F?r?e?n?ch??(1?9?9?8? )?쮵说쏷明?也?m?u?e?ls?on?效킧?于폚现쿖货믵升짽水쮮并늢不늻存듦在퓚。ꆣ?应펦的뗄놳背샫离튲也탭许퓚在뿢库듦存쮮水욽平较뷏高룟时쪱的뗄更룼短뛌的뗄期웚限쿞内쓚发랢生짺。ꆣ特쳘别뇰是쫇，ꎬ在퓚最ퟮ?仓닖储뒢理샭论싛构릹成돉了쇋商짌品욷价볛格룱期웚限쿞结뷡构릹模쒣型탍推췆导떼的뗄重훘要튪基믹础뒡，事ꎬ쫂实쪵上짏，ꎬ?近뷼붻交割룮月퓂由평于폚有폐足ퟣ够릻商짌品욷，ꎬ库뿢存듦出돶尽뺡也튲许탭是쫇不늻可뿉能쓜的뗄，ꎬ在퓚这헢种훖情쟩况뿶下쿂，ꎬ?它쯼캪为릹构퓬造쒣模탍型쳡提릩供쇋了폐有폃用뗄的结뷡论싛。ꆣ首쫗先쿈，ꎬ쿖现믵货뫍和웚期믵货볛价룱格뗄的맘关系쾵界뷧定뚨?价볛格룱的뗄波늨动뚯随쯦着ퟅ合뫏约풼临쇙近뷼到떽期웚日죕而뛸增퓶加볓。ꆣ?了쇋决뻶뚨定期웚货믵价볛룱格的뗄至훁少짙兰죽个룶变뇤量솿:ꎺ쿖现믵货볛价룱格，ꎬ뿛扣돽除닖仓뒢储돉成놾本뗄的뒿纯뇣便利샻收쫕?폐有튻一킩些퇐研뺿究헟者曾퓸运퓋用폃主훷成돉分럖法램分럖析컶了쇋原풭油폍期웚现쿖货믵价볛格룱曲쟺线쿟，ꎬ得뗃到떽?益틦뫍和暗낵含몬在퓚融죚资成돉本놾中훐的뗄利샻率싊。ꆣ其웤次듎，ꎬ뇣便샻利收쫕益틦和뫍现쿖货믵价볛格룱正헽相쿠关맘，ꎬ两솽?如죧下쿂结뷡论싛:ꎺ튻一쫇是돶出쿖现볛价룱格쟺曲线쿟运퓋动뚯的뗄多뛠类샠型탍，ꎬ即벴三죽种훖不늻同춬类샠型탍的뗄运퓋动뚯，ꎬ?者헟쫇是뿢库듦存쮮水욽平뗄的랴反몯函쫽数ꆣ。퓙再듎次，ꎬ럖分컶析쿖现믵货쫐市뎡场뫏合풼约쫐市뎡场뗄的쳗套利샻맘关系쾵显쿔?曲쟺线쿟짏上的뗄一튻个룶平욽行탐移틆动뚯(?水쮮平욽因틲素쯘)?、ꆢ튻一룶个쿠相뛔对移틆动뚯(?쿕险뛈度因틲素쯘)?뫍和曲쟺싊率?示쪾믹基닮差폐有튻一룶个럇非뛔对돆称的뗄行탐为캪tꎺ퓚在期웚货믵升짽水쮮中훐，ꎬ웤其쮮水욽平놻被쿞限훆制到떽닖仓储뒢成돉?因틲쯘素ꆣ。뛾二쫇是훷主돉成럖分럖分컶析쪹使뗃得计볆算쯣每쎿个룶成돉分럖波늨动뚯贡릱献쿗成돉为캪可뿉能쓜，ꎬ通춨过맽微캢?本놾。ꆣ퓚在쿖现믵货짽升쮮水中훐，ꎬ퓲则늢并럇非죧如듋此ꆣ。뷸进튻一늽步ꎬ，퓚在웚期믵货짽升쮮水훐中믹基닮差쫇是稳컈定뚨?积믽分럖计볆算쯣显쿔示쪾在퓚原풭油폍和뫍铜춭期웚货믵中훐，ꎬ잰前솽两룶个因틲쯘素占햼到떽웚期믵货价볛格룱整헻个룶方랽差닮?外췢살来쮵说뷏较췭晚，ꎬ쳘特뇰别쫇是뛔对폚于힡住랿房뗖抵톺押듻贷뿮款횤证券좯化뮯?닎参考뾼文컄献쿗:ꎺ??5.ꎮ高룟清쟥华뮪.ꆢ资닺产횤证좯券뮯化훐中쳡提잰前뎥偿付뢶风럧险쿕的뗄?来살쮵说룕刚룕刚웰起늽步ꎮ。쯦随ퟅ着컒我国맺힡住랿房뗖抵톺押贷듻款뿮证횤券좯?1?ꎮ.쯕苏죰瑞쪿士ꆤ.?M'ꆤ즣桑德뗂瑞죰森즭.ꆢ만固뚨定쫕收틦益횤证券좯市쫐?分럖析컶与폫防럀范랶北ꎮ놱方랽经뺭济볃，ꎬ2??0?07?(?3?)?化뮯逐훰步늽成돉熟쫬，ꎬ틔以벰及뷰金融죚뒴创新탂的뗄不늻断뛏发랢展햹，ꎬ힡住房랿?场뎡及벰其헦衍퇙生짺产닺品욷.ꎮ?2?0?0?6??6.ꎮ李샮睿.ꆢ扎?但?S?运퓋作ퟷ中훐的뗄럧风险쿕分럖析컶及벰风럧险쿕分럖?뗖抵톺押듻贷뿮款횤证좯券뮯化맽过돌程中훐뗄的쳡提前잰뎥偿뢶付风럧险쿕防럀范랶??2ꎮ安낲德뗂鲁슳·ꆤ戴듷维캬森즭，ꎬ安낲东뚫尼쓡·ꆤ对뛔德뗂斯쮹，ꎬ兰삼玲쇡·ꆤ?离샫技벼术쫵.ꎮ벯集团췅经뺭济볃研퇐究뺿，ꎬ2?0?0?5?(?3?)?폫맜샭뇘붫ퟟ짏맦랶뮯랢햹뗀슷ꆣ뷬쪱춶?沃컖尔뛻夫럲，ꆣ낲安쓝妮·ꆤ쟕钦ꎮ.资닺产횤证좯券뮯化:ꎺ릹构붨建뫍和춶投资分럖?7?ꎮ孙쯯奉럮军뻼.ꎮ쳡提잰前뎥偿뢶付风럧险쿕生짺成돉机믺理샭分럖析컶.与管理必将走上规范化发展道路。届时投资ꎮ?헟ꆢ랢탐죋뗈횤좯뮯쿠맘룷랽뗄샻틦튲ퟔ좻뗘?컶ꎮ?????国맺际볊金뷰融죚研퇐究뺿，ꎬ?2?00?1?(??7)者、发行人等证券化相关各方的利益也臼然地析.2006?쫜떽룼뫃뗄놣뮤ꎬ듓뛸췆뚯힡랿뗖톺듻뿮횤좯??ꎮ맅뒨쇮훎ꎬ헅쏷ꎮ닺횤좯뮯쫖닡ꎮ??????(ퟷ作헟者떥单캻位ꎺ:짏上몣海듳大톧学맺国볊际릤工짌商폫与管맜理샭学톧?受到更好的保护，从而推动住房抵押贷款证券3.古川令治，张明.资产证券化手册2006퓚컒맺뷸튻늽랢햹ꆣ??4 ꎮ陈돂建붨.ꎮ孔?但?S?쳡提前잰偿뎥付뢶风럧险쿕分럖析컶.ꆢ经뺭济볃퇐研?院풺?上짏海몣?2?0?0??43?6?)?在我国进一步发展。뺿떼뾯ꎬ????????责퓰뇠一编ꎺ볖乱캰伟??一FR究导刊，2007(3)1呵/』飞튻???dꆪ?
캬웕톶 ꇱ.횤证좯券쫐市场뎡?ꆶ《뺭经볃济쪦师?}?2?0?0?8쓪年第뗚?1웚期?뗄的?9?9ꎥ%ꆣ。?틲因듋此，ꎬ뿉可틔以죏认캪为폫与웚期믵货볛价룱格늨波뚯动쿠相맘关뗄的듳大뛠多쫽数럧风쿕险놻被솽两틲因쯘素쯹所?폃用?7?뷢解释쫍。ꆣ??3.ꎮ죽三因틲쯘素쒣模탍型퇐研究뺿。ꆣ直횱떽到?1?9?9?7쓪年ꎬ，쎿每튻一룶个짌商욷品볛价룱格웚期쿞限뷡结릹构쒣模型탍?죽三、ꆢ짌商욷晶볛价룱格웚期쿞限뷡结릹构쒣模탍型럖分컶析?뚼都假볙设짨利샻率싊是쫇常뎣数쫽，ꎬ即벴假볙设짨利샻率싊的뗄期웚限쿞结뷡构릹是쫇平욽稳컈的뗄。ꆣS?c?h?wa?r?t??{?1?9?9?7?)쳡提?짌商品욷볛价룱格웚期쿞限뷡结릹构뗄的샭理싛论쒿目뇪标쫇是퓚在쫐市뎡场짏上닺产짺生돶出뺡尽뿉可能쓜뺫精确좷的뗄期웚?돶出튻一룶个냼包삨括쿖现믵货볛价룱格、ꆢ뇣便샻利쫕收틦益뫍和샻利싊率죽三훖种ힴ状첬态뇤变솿量뗄的쒣模탍型ꆣ。듓从샭理싛论짏上?믵货볛价룱格。ꆣ퇐研究뺿者헟建붨立솢了쇋从듓最ퟮ简볲单떥的뗄(?单떥因틲素쯘)?到떽最ퟮ复뢴杂퓓(?三죽因틲素쯘)?뗄的짌商品욷?뾴看，ꎬ틽引죫人쯦随믺机샻利싊率퓚在볛价룱格맘关쾵系럖分컶析훐中쫇是훘重튪要뗄的ꆣ。만固뚨定샻利싊率뗄的볙假짨设틢意味캶ퟅ着?볛价룱格웚期限쿞结뷡构릹模쒣型탍，ꎬ뾼考싇虑了쇋四쯄个룶因틲素쯘:ꎺ쿖现믵货价볛格룱、ꆢ뇣便샻利쫕收益틦、ꆢ샻利싊率뫍和뎤长期웚?웚期货믵볛价룱格뫍和풶远期웚价볛格룱쫇是相쿠等뗈的뗄，ꎬ떫但헢这늻不럻符뫏合事쫂实쪵。ꆣ在퓚随쯦机믺利샻率싊下쿂，ꎬ뾼考싇虑?价볛룱格ꆣ。짌商品욷价볛룱格웚期限쿞结뷡构릹쒣模型탍有폐三죽个룶前잰提쳡假볙设짨，ꎬ튻一쫇是资닺产쫐市뎡场늻不듦存在퓚摩쒦?使쪹폃用웚期믵货쫐市场뎡的뗄保놣证횤金뷰调뗷用폃机믺制훆是쫇可뿉能쓜的뗄。ꆣ最ퟮ后뫳，ꎬ틽引죫人샻利싊率ퟷ作캪为뗚第三죽룶个?닁擦、ꆢ쮰税쫕收뫍和붻交틗易돉成놾本ꎻ;뛾二쫇是붻交틗易솬连탸续랢发짺生ꎻ;죽三쫇是뷨借듻贷샻利싊率相쿠等뗈，ꎬ늻不듦存퓚在卖싴?解뷢释쫍变뇤量솿与폫仓닖储뒢理샭论싛的뗄内쓚容죝相쿠一튻致훂。ꆣ?랽方쫛售돶出쿞限훆制ꆣ。쿖现퓚在쪹使폃用폫与샻利싊率샭理싛论쿠相춬同뗄的쫖手램法릹构붨建짌商욷品볛价룱格웚期限쿞结뷡构릹?ퟔ自듓从?1?9?9?7쓪年以틔살来，ꎬ톧学쫵术뷧界쳡提돶出쇋了뛠多룶个죽三因틲素쯘模쒣型탍。ꆣ由평于폚特쳘定뚨商짌品욷，ꎬ?쒣模型탍。ꆣ首쫗先쿈，ꎬ웚期믵货뫏合풼约뗄的价볛格룱是쫇状ힴ态첬变뇤量솿、ꆢ时쪱间볤、ꆢ뫏合풼约떽到期웚时쪱间볤的뗄函몯数쫽，ꎬ?쳘特뇰别쫇是쓜能源풴商짌品욷的뗄供릩给룸和뫍需탨求쟳冲돥击믷引틽发랢了쇋巨뻞大듳和뫍突춻然좻的뗄变뇤化뮯。Hꆣi??ll?i缸??d?폃用?Le??nu?na?믱获뗃得웚期믵货볛价룱格的뗄뚯动态첬行탐为캪。?然좻后뫳，ꎬ쪹使폃用쳗套샻利췆推샭理뫍和뿧跨웚期保놣值횵?和뫍?Re?i?s?(1??9?9?8)?퓚在现쿖货믵定뚨价볛过맽程돌引틽人죫跳쳸跃풾，ꎬ他쯻们쏇修탞正헽了쇋Sc??h?w缸???U퓚在?1?9?9?7?ퟩ组合뫏分럖컶析，ꎬ뗃得떽到웚期쿞限틧溢볛价뫍和쒣模탍型뗄的믹基놾本움评볛价方랽程돌。ꆣ最ퟮ后뫳，ꎬ퓚在뿉可쓜能的뗄情쟩况뿶?쓪年提쳡出돶的뗄三죽个룶模쒣型탍。ꆣS?c?hw?a?r?t?z뫍和?S?mit?h?(2?0?0??0 ?)쳡提돶出쇋了쯻他쏇们的뗄短뛌期웚/?长웚期?쿂下，ꎬ믱获뗃得方랽程돌的뗄解뷢。ꆣ?삩扩햹展쒣模型탍，ꎬ퓚在삩扩햹展쒣模탍型훐中뻹均뫢衡볛价룱格쮮水욽平뗄的퓶增뎤长싊率쫇是쯦随믺机뗄的。ꆣ뗚第죽三룶个쒣模型탍??1ꎮ떥.单틲쯘因素쒣模탍型퇐研뺿究ꆣ。웚期믵货볛价룱格췹往췹往놻被뚨定틥义캪为쿖现믵货볛价룱格퓚在캴未来살?t죕目뿉可?룄改뷸进了쇋模쒣型탍适쫊应펦长뎤期웚期웚货믵价볛格룱的뗄能쓜力솦。ꆣ?Ya?n?(?20?0?2?)?쳡提出돶쇋了죽三룶个틲因素쯘模쒣型탍?获믱뗃得탅信쾢息的뗄理샭性탔预풤期웚。ꆣ实쪵际볊上짏，ꎬ쿖现믵货볛价룱格쫇是웚期믵货价볛格룱的뗄主훷要튪决뻶定뚨因틲素쯘。ꆣ?뗄的쇭另튻一个룶改룄进뷸，ꎬ퓚在쯻他뗄的쒣模탍型훐中，ꎬ죚融뫏合쇋了쿖现믵货볛价룱格늨波뚯动훐中随쯦机믺便뇣利샻收쫕益틦、ꆢ쯦随?因틲듋此，ꎬ듳大뛠多쫽数떥单틲因쯘素쒣模탍型좡取뻶决폚于쿖现믵货볛价룱格。ꆣ在퓚商짌品욷价볛格룱研퇐究뺿文컄献쿗中훐，ꎬ폐有?믺机샻利싊率ꆢ、쯦随믺机늨波뚯动탔性뫍和쯦随믺机쳸跳풾跃ꆣ。뇣便샻利쫕收틦益럾服듓从튻一룶个臼??ns?t?e?i?nꆪ-?ul?让?e?nꆪ?벸几룶个单떥因틲素쯘模쒣型탍，ꎬ헢这킩些쒣模탍型뿉可按내照헕쿖现货믵价볛格룱的뗄动뚯态첬行탐为캪进뷸行탐分럖类샠。ꆣ?Br?e??nꆪ??b?e?c?k맽过돌程，ꎬ뛸而샻利싊率럾服듓从튻二룶个욽平랽方룹根맽过돌程，ꎬ늨波뚯动뷴紧쯦随ퟅ着튻一룶个욽平랽方룹根쳸跳풾跃扩삩??n?a?n뫍和S?c??h?w缸??t?z?(1??9?85?)?、ꆢ?Gi?b?s?o?n和뫍S?c??hw?a?r?t?z(?1??9?8?9 ,ꎬ ?1?99?0?)?ꆢ、?Br?e??nn?a??n(??1?9?91?)?ꆢ、?즢散过맽程돌。ꆣ然좻而뛸，ꎬ럖分컶析헟者랢发쿖现쯦随믺机탔性늨波뚯动뫍和쳸跳풾跃퓚在쪱时뗣点짏上늢并쎻没폐有벰及쪱时뗘地改룄??Ga?b?i?ll?o?n{?1??99??2.ꎬ1?9?9?5?)?쪹使폃用쇋了튻一룶个벸几何뫎?Br?ow?l?li?a?n퓋运뚯动살来描쏨述쫶现쿖货믵价볛格룱行탐?뇤变웚期货믵价볛룱格，ꎬ떫但쫇是쯼它쏇们퓚在웚期믵货웚期좨权뚨定볛价中훐좴却发랢挥믓重훘要튪作ퟷ用폃。ꆣ最ퟮ后뫳，ꎬ?也'?rꎮ?캪为:ꎻ뛸而?创?1?wa?r?t?z(? 1??9?9?7 ?)ꆢ、?Co?r?t?a?z?ar?뫍和S?c??h?wa?r?t?z?( ?1?99?7? ?)、ꆢR?o?u?t?l?e?d?ge?、ꆢ?旬???以?和뫍?回???ar?뫍和S?c?h?w?缸?t?z?(?2?0?0?3)?提쳡出돶一튻个룶与폫Sc??h?w?盯?t?z?(1?9??9?7)?模쒣型탍폐有맘关的뗄三죽因틲素쯘??S?pa??忧?(?2?0?00?)?用폃튻一个룶平욽均뻹自ퟔ回믘归맩过맽程돌来살描쏨述쫶现쿖货믵价볛格룱行탐为캪。ꆣ?模쒣型탍，ꎬ퓚在룃该쒣模탍型훐中죽三룶个틲因쯘素뚼都쪹使폃用캨唯튻一뗄的짌商욷品볛价룱格살来볆计솿量ꆣ。럖分컶析者헟将붫长뎤?2?.ꎮ쮫双因틲쯘素쒣模탍型퇐研뺿究ꆣ。퓚在짌商욷品볛价룱格웚期쿞限뷡结릹构훐中틽引죫入뗚第뛾二룶个쯦随机믺变뇤量솿?웚期现쿖믵货价볛格룱回믘报놨视쫓作ퟷ第뗚三죽个룶风럧险쿕因틲素쯘，ꎬ퓊允탭许쯼它쫇是쯦随믺机뫍和뛔对뎤长웚期욽平均뻹值횵的뗄?时쪱，ꎬힴ状첬态뇤变솿量톡选퓱择뗄的춬同훊质탔性쿻消쪧失ꆣ。퓚在듳大뛠多쫽数时쪱间볤内쓚，ꎬ뗚第뛾二룶个ힴ状첬态뇤变量솿是쫇?平욽뻹均回믘뢴复。ꆣ웤其쯻他솽两룶个쯦随믺机맽过돌程쫇是쿖现믵货볛价룱格뫍和뇣便샻利쫕收틦益ꆣ。럖分컶析헟者샻利폃用便뇣?便뇣利샻收쫕틦益。ꆣ在퓚所쯹폐有这헢킩些模쒣型탍中훐，ꎬ뗚第뛾二룶个ힴ状첬态뇤变솿量뗄的틽引죫人쫇是캪为쇋了믱获뗃得比뇈单떥?利샻쫕收틦益뛔对由평于폚库뿢듦存的뗄变뇤化뮯引틽起웰的뗄价볛格룱临쇙时쪱性탔变뇤化뮯建붨模쒣，ꎬ샻利폃用뎤长웚期믘回报놨뛔对?틲因쯘素쒣模탍型룼更캪为럡丰富뢻的뗄曲쟺쿟线形탎状ힴ(?쳘特뇰别쫇是뛔对폚于뷏较长뎤的뗄到떽期웚时쪱间볤)?뫍和늨波动뚯结뷡?평由于폚技벼术쫵、ꆢ춨通믵货엲膨헍胀믲或탨需쟳求的뗄뇤变化뮯引틽웰起了쇋长뎤期웚波늨动뚯进뷸行탐建붨模쒣计볆算쯣。ꆣ?构릹。ꆣ믹基于폚뎤长期웚价볛格룱水쮮平욽或믲现쿖货믵价볛格룱波늨动뚯性탔的뗄模쒣型탍也튲被놻发랢展햹出来돶살，但ꎬ떫是쫇，ꎬ?在퓚짌商욷品价볛格룱웚期限쿞结뷡构릹模쒣型탍构릹建붨中훐，ꎬ평由떥单틲因쯘素쒣模탍型쿲向죽三틲因쯘素쒣模型탍的뗄랢发?鉴본于폚两솽因틲素쯘模쒣型탍更룼复뢴杂퓓，ꎬ这헢一튻改룄进뷸的뗄成돉本놾很뫜高룟。ꆣ?햹展，ꎬ쪹使뗃得짌商욷品볛价룱格웚期쿞限뷡结릹构쒣模탍型퓚在쏨描쫶述웚期믵货볛价룱格쯦随믺机탎形돉成뗄的能쓜솦力랽方面쏦뗃得??Sch??w?盯??臼?(??1?99?7?)?模쒣型탍쫇是ퟮ最훸著쏻名的뗄商짌品욷价볛格룱期웚限쿞结뷡构릹模쒣型탍，ꎬ틲因듋此它쯼被놻?떽到룄改善짆。ꆣ但떫是쫇，ꎬ퓚在볛价룱格쒣模탍型뿉可탅信뛈度뫍和볲简뷠洁탔性之횮间볤仍죔需탨要튪保놣持돖一튻个룶平욽衡뫢，ꎬ?H?i?l?li?a?r?d和뫍R?e?i?s?(1?9?9?8?)?、ꆢS?c??hw?.盯???tz?(1??99?8?)?ꆢ、?Ne?u?b?e?r?ge?r?(? ?19?9?9? )?、ꆢS?c?hw?a?r?tz?和뫍?쳘特뇰别쫇是当떱쒣模탍型놻被폃用폚于볆计쯣算룼更캪为뢴复퓓杂뗄的퇜衍生짺品욷时쪱。ꆣ三죽因틲素쯘模쒣型탍的뗄发랢展햹引틽??S?mi?t?h?(?2?0?0?0)?、ꆢL?a?u?t?i?e?r和뫍?Ga?ll?i(?2?0?0?1?)?、ꆢY?a?n?(?2?0?0?2?)?ꆢ、R?i?ch?t?e?r?和뫍S?o??r?e?n?s?e?n?랢发了쇋关맘于폚现쿖实쪵性탔和뫍简볲单떥性탔判에断뛏的뗄问컊题쳢，ꎬ튲也돉成캪为짌商욷品볛价룱格웚期쿞限뷡结릹构模쒣型탍和뫍?(??2?00?2?)?、ꆢV?e?l?dꆪ-M?e?r?也??u?l?o?v?a和뫍?d?e?R∞???n(?2?0?0?3?)?等뗈研퇐究뺿者헟作ퟷ为캪基믹础뒡，ꎬ폃用以틔构릹?릹构建붨发랢展햹的뗄下쿂一튻个룶方랽向쿲。ꆣ?붨建更룼为캪复뢴杂퓓的뗄两솽因틲素쯘模쒣型탍，ꎬ与폫以틔前잰的뗄模쒣型탍相쿠比뇈，ꎬ这헢些킩模쒣型탍更룼具뻟有폐操닙作ퟷ性탔，ꎬ?因틲캪为쯼它쏇们폐有튻一룶个럖分析컶解뷢。ꆣ在퓚这헢些킩模쒣型탍中훐，ꎬ뇣便샻利收쫕益틦是쫇平욽均뻹自ퟔ因믘归맩，ꎬ并늢介뷩?参닎考뾼文컄献쿗:ꎺ?죫入到떽现쿖货믵볛价룱格动뚯첬态中훐。ꆣ臼??ns?t?e?i?n-ꆪU??h1e??n如??c??k맽过程돌基믹于폚保놣有폐存듦货믵的뗄假볙设짨，ꎬ?1?.ꎮ B?r?en??n?a?n ?M.ꎮ J? ?& C??re??w ?N.ꎮ (?1?9?9?7?)?ꎬ, "ꆰ?He?dg?i?鸣??l?o?n?gm?a?t?ur?i?t?y ?oomn?时??iꎮ?即벴펵拥폐有싺满ퟣ足헽正뎣常쳵条볾件쿂下뗄的닺产튵业탨需쟳求뗄的뿢库듦存ꆣ。퓚在쿖现믵货쫐市뎡场훐中뺭经营펪者헟的뗄行탐?????????????????????ꆪ??????????????????ꆱꎮ??ꎮ??浰???爦?ꎮ?ty commitments with short一datedfutures∞ntracts" ,in M. —empster & S. 캪为保놣证횤这헢튻A正헽常뎣水쮮平욽的뗄存듦在퓚。ꆣ当떱便뇣利샻收쫕益틦低뗍时쪱，ꎬ库뿢存듦是쫇富뢻余폠的뗄，ꎬ폫与持돖有폐?P?l?i?s?k?a(?E??d?s)? ꎬ，?Ma?th?e?r?r咀?t?i?c?s?of? ?de?r?i?va?t?i?v?田?阳???山??i?ti?白?.ꎬ?PP??1??65?一ꆪ?1?9?0?原풭材닄쇏料쯹所获믱收쫕益틦쿠相比뇈，ꎬ뺭经펪营헟者캬维돖持튻一룶个룟高뗄的仓닖储뒢成돉本놾。ꆣ因틲此듋，ꎬ쯻他쏇们就뻍试쫔??2.ꎮ C??a?rte?r? C?.ꎮ A?.ꎮ ?(1?9??9?0?).ꎬ ꆰ"C?o?m??m?o?d?ity? ?fu??tu?r?e?s? ?rn?a?r?k?e?t?sꎺ:a?? s??u?rv??e?yꆱ".ꎬ A??us?›ꆪ?ퟅ着减복少짙多뛠余폠的뗄库뿢存듦。ꆣ相쿠反랴，ꎬ当떱库뿢存듦稀쾡少짙时쪱，ꎬ他쯻们쏇就뻍试쫔着ퟅ重훘购릺。ꆣ?t?ra?li?a?n? J? o?ur?n?a?l? ?o?f ?A?g??ric?u?l? t?ur?a?l ?& ?Re?s?o??u?rc??e? E?∞??n??om?i?cs?.ꎬ?Ju?n?e?，ꎬ ?4?3 (??2)?,ꎬ2??0?9ꆪ-?另쇭튻-샠类퇐研뺿究짌商욷品볛价룱格웚期쿞限뷡结릹构뗄的랽方램法쫇是맘关힢注볛价룱格曲쟺线쿟波늨动뚯性탔减복小킡?????248 뗄的情쟩形탎。ꆣ퓚在这헢种훖쟩情形탎下쿂，ꎬ뿉可틔以닎参뾼考뗄的솽两ힴ状첬态뇤变솿量쫇是볛价룱格쟺曲쿟线짏上的뗄极벫端뛋情쟩??3.ꎮ阳??ll?i缸??d??J?.ꎮ E?.ꎮ &? R?e?i?s ?J.ꎮ (?1?9??9?8)?,ꎬ "ꆰV?a?l?ua?t?i?o?n? o?f? ?c?o??m?m?od?i?ty? ?f?u?t?ur?e?s? ?况뿶，ꎬ벴即쿖现믵货볛价格룱和뫍长뎤期웚价볛格룱。ꆣG?a?b?il?l?o?n(?1?9?9?2?)?使쪹用폃现쿖货믵价볛格룱和뫍长뎤期웚价볛格룱作ퟷ?a?n?d? ?op?t?i?o?ns? ?u?nd?e??r ?st?o?c?h?a?s?t?i?c?∞??n?v?e?n?i?e?nc?e?? y?i?el?d,ꎬ i?nt?er?田?t?r?at?白?，ꎬa??n?d?jU??ll1P? ?di?ff?u›ꆪ?用폃ힴ状态첬变뇤量솿。ꆣ在퓚这헢个룶模쒣型탍中훐，ꎬ便뇣利샻收쫕益틦是쫇内쓚生짺变뇤量솿，ꎬ取좡决뻶于폚上짏述쫶两솽因틲素쯘。ꆣ?????????????ꆱꎬ???????????????????????????????ꎬ??ꎬ??ꆪ???sions in the spot" Journal of Financial and Quantitative -86 长뎤웚期볛价格룱作ퟷ为캪第뗚뛾二状ힴ态첬变뇤量솿，ꎬ쓜能릻够놻被쿖现믵货쫐市뎡场췢外짺生틲因쯘素죧如풤预웚期通춨货믵膨엲胀헍??4.ꎮ J?a?v?a??he?r?i? ?A.ꎮ ,ꎬL?a?u?t?i?er? ?D.ꎮ &ꎦ G?a??lli? A?.ꎮ ?(2?0??0?3?).ꎬ "ꆰF?i?lt?e?r?i?n?g? i?n ?f?i?n?a?n?c?eꆱ".ꎬ ?率싊、ꆢ샻利싊率믲或뿉可퓙再짺生뗄的쓜能풴源볛价룱格쯹所펰影쿬响的뗄事쫂实쪵证횤明쏷。ꆣ因틲此듋，ꎬ쿖现믵货볛价룱格和뫍长뎤??Wi?lr?n?o?tt? M?a?g?皿???in?eꎬ，?5.ꎬ?6?7ꆪ-8?3??期웚볛价룱格ퟛ综뫏合쇋了쯹所폐有쏨描쫶述웚期쿞限볛价룱格퓋运动뚯的뗄因틲素쯘。ꆣ分럖컶析헟者붫将뎤长期웚价볛格룱行탐为캪??5.ꎮ L?a?u?ti?e?r ?D.ꎮ &? G?a?l?li? A?.ꎮ (??20?0?2?)?.ꎬꆰ咀??e?p?o口??o??n?t?e?r?r?n ?st?r?u?c?t?ur?e?? rr?时?e?1s??of? 定뚨义틥为캪几벸뫎何?Br?o??W1?证?m?运퓋动뚯。ꆣ此듋外췢，ꎬ헢这솽两룶个ힴ状态첬变뇤量솿被놻认죏为캪是쫇正헽相쿠关맘的뗄。ꆣ?∞??m?mod??i?ty?? p?r?ic?白?:ꎺ?????????????????????ꆱꎬ??????????????????????elaboration and in1provement" French Institute of Energy S?c??hw?.盯??t?z和뫍S?m?i?th?(?2?0?0?0?)?提쳡出돶了쇋一튻个룶两솽因틲素쯘模쒣型탍，ꎬ쒣模탍型퓊允许탭短뛌期웚价볛??R臼??e?a?r?c?h(?I?FE?)?.ꎬ7?0?p??格룱욽平뻹均明닻뢴复뗄的늻不좷确뚨定탔性폫与볛价룱格믘回뢴复뻹均뫢衡水쮮平욽的뗄不늻确좷定뚨性탔。ꆣ这헢些킩因틲素쯘虽쯤?6?.ꎮ M?a?z?a??h?er?i ?A?.ꎮ (?1?9??9?0?).ꎬ "ꆰ?句?l?V?e?n?i?enc?e??y?i?e?ld.ꎬ m?e?a??n? ?r?e?ve?口?i?鸣?p?r?i?ce?s?，ꎬa??nd??不늻可뿉观맛달察，ꎬ떫但쫇是뿉可틔以듓从웚期믵货뫍和쿖现믵货볛价룱格뗃得떽到맀估볆计횵值ꆣ。뷏较뎤长떽到웚期时쪱间볤的뗄期웚?l?on?g m?e?r?no?r?y i?n t?h?e? ?p??et?ro?l?eU??ll1 r?n?a?r?k?et?"ꆱ ꎬ A?p??pl?ie?d F?i?na?n?c?i?al? E?∞?n?o?m?i?çs?，ꎬ 9?(?1?)?.ꎬ? 货믵合뫏约풼价볛格룱运퓋动뚯可뿉以틔提쳡供릩关맘于폚价볛格룱均뻹衡뫢水쮮平욽的뗄信탅息쾢，ꎬ뛌短웚期폫与뎤长웚期뫏合约풼价볛?3?1? 튻5??0 ?格룱的뗄差닮别뇰쳡提릩供了쇋맘关폚于볛价룱格뛌短웚期컳误닮差뗄的탅信쾢息。ꆣ쒣模탍型쎻没폐有精뺫确좷地뗘考뾼虑싇便뇣利샻?7?.ꎮ S?ch?w?a?r?t?z E?.ꎮ S?.ꎮ &? S??m?it?h ?J.ꎮ E?.ꎮ (?2?0?0?0?)?,ꎬ "ꆰS?h?o?r?t一ꆪt?e?rm?v?a?r?i?at?i?on?s? ?a?n?d? ?收쫕益틦跨뿧期웚产닺生짺的뗄变뇤化뮯，ꎬ但떫它쯼与폫G?i?bs?on?和뫍S?ch??w盯??t?z(?1?9?9?0?)?的뗄双쮫因틲素쯘模쒣型탍一튻???ꆪ???????????????????????????ꆱꎬ?????????????ꎬ??ꎬ???ꆪ?long一termdynamics in commodity prices" Management Science, 46 ,893 -致훂，ꎬ퓚在헢这킩些쒣模탍型훐中ꎬ，튻一룶个쒣模탍型ힴ状첬态뇤变솿量뿉可틔以뇭表듯达캪为웤其쯻他쒣模탍型ힴ状첬态뇤变量솿的뗄?9?1?1? ?线쿟性탔ퟩ组뫏合。ꆣ룃该쒣模탍型뗄的ퟮ最듳大폅优뗣点퓚在폚于쯼它뇜避쏢免쇋了맘关폚于뇣便샻利收쫕益틦及벰其웤经뺭济볃重훘?8?.ꎮ T?o?l?ma?s?k?y? C?.ꎮ &? H?i?nd?a?n?o?v? —?ꎮ. (?2?0?0?2?)?,ꆣ "ꆰP?r?in?c?i?pa??l c?om?p?o?ne?n?t ?a?na?lꎮy?›ꆪ?要튪性탔和뫍맀估볆计횵值的뗄컊问쳢题ꆣ。뎤长웚期뻹均뫢衡뗄的쮼思쿫想也튲在퓚与폫짌商욷品웚期믵货市쫐场뎡上짏有폐关맘长뎤??????????????????????????????????????????ꎺ????????????????sis for ∞nelated cu凹臼and回础)na!∞mmoditi臼:the case of the petroleum 期웚记볇忆틤的뗄研퇐究뺿相쿠一튻致훂。ꆣM?a??7Æ1?e?r?i?(? 1??9?99? )?뫍和B?a?r?k?o?u?l田??曾퓸研퇐究뺿过맽便뇣利샻收쫕益틦?m?町??k?e?t?"ꆱ,ꎬJ?o?u?m??a?l ?of? ?Fu?t?ur?e?s? ?M?a?r?k?e?t?s?,ꎬ2?2?(? 1?1?)? ，ꎬ1?0?1?9?一ꆪ1??03?5??中훐的뗄长뎤期웚记볇忆틤问컊题쳢。ꆣLa??b?y?s?和뫍臼??1?o?ch?i?e(?1?9?9?9?)?뗄的퇐研뺿究횤证쏷明:ꎺ웚期믵货볛价룱格存듦在퓚?9?.ꎮ Y?a??n X?.ꎮ ꎬ???ꆿ???ꎬꆰ??????????????????????????????????? (2002). "Valuation of commodity derivatives in a new multi 长뎤期웚记볇忆틤。ꆣ长뎤期웚记볇忆틤或믲长뎤期웚相쿠存듦描쏨述쫶了쇋在퓚长뎤期웚对뛔数쫽(?1?正?>??g훐)뗄中탲的序쇐列쿠相맘关?ꆪ????????????ꆱꎬ?????????????????????????ꎬ?ꆣ???ꆫ???-factor mldel" Review of Derivatives R自由，251-271结뷡构릹。ꆣ如죧果맻一튻个룶序탲列쇐表뇭现쿖为캪长뎤期웚记볇忆틤，ꎬ퓲则퓚在풶远맛观달察횵值횮之间볤폐有튻一个룶持돖续탸的뗄?(?ퟷ作헟者떥单캻位:ꎺ횣郑훝州짌商욷品붻交易틗所쯹?河뫓南쓏郑횣州훝4?5?0?∞??8?，ꎬ횣郑훝州몽航뿕空工릤业튵管맜?时쪱间볤쿠相关맘性탔。ꆣ这헢种훖序탲列쇐表뇭现쿖出돶明쏷确좷的뗄、ꆢ但떫非럇周훜期웚性탔的뗄循톭环뮷类샠型탍。ꆣ然좻而뛸，ꎬ?理샭学톧院풺?河뫓南쓏郑횣州훝4?5?0?0?0?8?)??责퓰编뇠:ꎺ吕싀尚짐)?新탂模쒣型탍也튲引틽랢发쇋了튻一룶个탂新问컊题쳢:ꎺ폃用튻一룶个쯦随믺机뇤变솿量살来뇭表쪾示뻹均뫢衡水쮮平욽是쫇否럱管맜????ꆪꆪ-1?2?4? -?ꆪꆪ?
