英文文献：An Exploration of Market Pricing Efficiency: The Dairy Options Pilot Program-市场定价效率的探索:乳制品期权试点方案
英文文献作者：Buschena, David E.,McNew, Kevin
英文文献摘要：
Put options have been recommended as a substitute for price support programs (Gardner, 1977), and subsidized option purchases have received some support in lieu of subsidized insurance programs. Put options are an interesting alternative to price supports because their market-determined price levels allow for flexibility and adjustments to relevant current and expected market conditions. One difficulty with the use of put options as a substitute for commodity price supports is the relative thinness of these options markets for some commodities. Market thinness is defined here as the absence of traders willing to take the necessary opposite position in the market in lieu of a relatively large price premium, particularly for a large number of contracts. We explore empirically how a thin market responds when trading increases as a result of a subsidized put option program. USDA initiated the Dairy Options Pilot Program (DOPP) in 1999 in an effort to provide dairy producers with real-world experiences trading options (Vandeveer et al., 2003). Subsequently, additional rounds of DOPP occurred to give more producers a chance to participate. In total, over 1,300 producers bought 6,500 milk put option contracts through the DOPP program from 1999 to 2002. In contrast, over this four-year period total put options traded at the CME milk futures market totaled over 36,000 contracts. This, the volume from the DOPP program represented a fairly large share of total trading activity in the dairy put options market. An interesting feature of the subsidized milk options program is that dairy farmers may have made relatively little use of commodities markets due to the long-standing dairy price support programs. If this is the case, many of the dairy farmers making use of this subsidized options purchase program would have been relatively uniformed traders. Although DOPP may have increased trading volume, market performance may or may not have been enhanced due to the relative unfamiliarity with options trading by these dairy producers. We define a measure for observed options pricing efficiency using Black's formula in our study of the DOPP program, and statistically evaluate the size of the "error" in options pricing. We find that DOPP trades occurred at statistically significantly higher prices than did other trades, that DOPP volume had a price-reducing effect on other options trades, and that some brokers with large DOPP volume filled these orders at relatively large prices.

看跌期权被推荐作为价格支撑计划的替代品(Gardner, 1977)，而补贴期权购买也得到了一些支持，取代了补贴保险计划。看跌期权是价格支撑之外一种有趣的选择，因为它们的价格水平由市场决定，可以根据相关的当前和预期市场条件进行灵活调整。使用看跌期权作为商品价格支持的替代品的一个困难是，一些商品的这些期权市场相对薄弱。市场稀疏在这里被定义为交易者不愿意在市场上采取必要的相反位置来代替一个相对较大的价格溢价，特别是对于大量的合同。我们从实证的角度探讨了在受补贴看跌期权计划影响而交易增加时，单薄市场的反应。美国农业部在1999年启动了乳制品选择权试点计划(DOPP)，旨在向乳制品生产商提供真实的交易选择权经验(Vandeveer等人，2003年)。随后，又出现了多轮DOPP，让更多的制作人有机会参与。从1999年到2002年，共有超过1,300家生产商通过DOPP计划购买了6,500份牛奶看跌期权合约。相比之下，在这四年期间，CME牛奶期货市场交易的看跌期权总计超过36,000份合约。因此，DOPP计划的交易量在乳制品看跌期权市场的交易活动中占相当大的份额。补贴牛奶选择计划的一个有趣的特点是，由于长期的奶制品价格支持计划，奶农可能很少利用商品市场。如果是这样的话，许多使用补贴期权购买计划的奶农就会是相对穿着制服的商人。虽然DOPP可能增加了交易量，但由于这些乳制品生产商相对不熟悉期权交易，市场表现可能会也可能不会得到提高。在DOPP程序的研究中，我们使用Black公式定义了观察到的期权定价效率的度量，并统计地评估了期权定价中“误差”的大小。我们发现，多普交易的价格在统计上明显高于其他交易，多普交易量对其他期权交易有降价作用，一些多普交易量大的经纪人以相对较大的价格完成这些订单。