• DocumentCode
    3503338
  • Title

    Implementing Three-factor Model: Empirical Analysis of the Fuel Oil Futures Price at Shanghai Futures Exchange

  • Author

    Song, Bin ; Liu, Zhidong ; Li, Wenbin ; Li, Bin

  • Author_Institution
    Sch. of Manage. Sci. & Eng., Central Univ. of Finance & Econ., Beijing
  • fYear
    2007
  • fDate
    21-25 Sept. 2007
  • Firstpage
    3959
  • Lastpage
    3963
  • Abstract
    China´s futures market is an emerging market which has only existed for more than 10 years. In recent years, this market steps into a quick development period and proposes enormous challenge for the academics and practitioners, such as futures pricing model, trading strategy, risk management and government regulation. This paper introduces an excellent three- factor future pricing model and analyzes the model empirically by employing the fuel oil future price data. From the empirical results, we find that this model fits the data well. We aim to provide a good and simple pricing tool for institution and individual investors and promote the pricing model application in China´s futures market.
  • Keywords
    petroleum; pricing; risk management; China futures market; Shanghai futures exchange; fuel oil futures price; futures pricing model; government regulation; risk management; trading strategy; Data engineering; Economic forecasting; Engineering management; Finance; Financial management; Fuel economy; Petroleum; Predictive models; Pricing; Stochastic processes;
  • fLanguage
    English
  • Publisher
    ieee
  • Conference_Titel
    Wireless Communications, Networking and Mobile Computing, 2007. WiCom 2007. International Conference on
  • Conference_Location
    Shanghai
  • Print_ISBN
    978-1-4244-1311-9
  • Type

    conf

  • DOI
    10.1109/WICOM.2007.979
  • Filename
    4340754