亚太LNG市场双挂钩远期合约定价研究

亚太市场是全球最大、增速最快的LNG市场.自20世纪70年代以来,亚太地区一直采用与JCC指数挂钩的LNG定价机制,存在"亚洲溢价"现象,这使我国进口LNG付出了高昂代价.本文提出基于国际原油和天然气价格的双挂钩LNG定价机制,在随机收益率和随机便利收益条件下,研究了存在协整效应的LNG远期定价问题,得到了远期价格的解析解,拓展了大宗商品衍生品定价理论,并实证研究了双挂钩定价机制与JCC指数定价机制下的LNG价格差异.研究发现,双挂钩定价机制下的LNG价格低于JCC指数定价机制下的LNG价格.本文所提LNG远期定价理论有助于完善亚太市场LNG定价机制,为我国LNG进口提供理论依据.

Study on Asia-Pacific LNG forward pricing based on crude oil and natural gas prices

The Asia-Pacific market is the biggest and fastest growing LNG market worldwide. The Asia-Pacific LNG pricing mechanism is mainly based on JCC index since 1970s which causes a phenomenon of "Asia Premium" on LNG market, and this makes expensive cost of importing LNG for our country. We propose a method of pricing LNG forward contracts based on international crude oil price and natural gas price, and study it under stochastic return and stochastic convenience yield with cointergation, and get the analytical solution of LNG forward contracts price, generate the theory of commodity derivatives pricing. The empirical study finds that our model for LNG forward pricing dominate the JCC oil linked pricing mechanism, which implies that our method for LNG forward contracts pricing is reasonable and feasible. Our LNG theory is helpful for ameliorating asian LNG pricing mechanism and LNG importing in our country.