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Research on futures price with stochastic exchange rate based on three factors
YAN Wei1,LI Shu-rong1,GUO Yong-heng2
(1. College of Information and Control Engineering in China University of Petroleum,Dongying 257061,China;2. Great Wall Drilling Corporation, Beijing 100101, China)
Abstract:
Considering stochastic exchange rate,a three-factor futures price model was developed with underlying asset,convenience yield and exchange rate. These factors follow jump-diffusion processes. The corresponding partial differential equation (PDE) of the futures price was derived, and its analytical solution was presented. A weight least squares approach was applied to obtain the parameters of the analytical solution. A fuel futures case in Shanghai exchange market was selected to illustrate the above model and method. The comparison between real-time price and forcasting results show that the thre^-factor futures price model is accurate, and the maximum relative error is 3.112%.
Key words:  exchange rate  futures  jump-diffussion process  partial differential equation