Research On Truck NDRC Diesel Price Insurance Pricing And Hedging Strategies

In recent years,with the deepening of the marketization reform of refined oil price mechanism of National Development and Reform Commission(NDRC),the frequent fluctuation of oil price has significantly increased the "recessive but degradable" transport costs(fuel cost takes up about 25%-50% of the total transport cost)for many road transport individual households and small and medium-sized enterprises.In the context of the country’s efforts to reduce logistics costs,exploring how to use financial instruments to reduce the extra volatility costs caused by the rise and fall of oil prices has become a petechial point that need to be solved.Therefore,this study constructs a theoretical system of truck NDRC diesel price insurance for road transport self-employed and small and medium-sized enterprises.First,it constructs the futures portfolio replication theory of NDRC diesel price.The "black box" of NDRC diesel maximum retail price regulation mechanism was deeply analyzed,and the main international crude oil futures anchored by the black box were used as candidate objects to extract the crude oil futures portfolio with minimum fluctuation difference,and the NDRC diesel oil "virtual" futures were obtained based on the replication of the crude oil futures portfolio,thus laying a theoretical foundation for NDRC diesel oil insurance pricing and risk hedging.Second,the insurance pricing model of truck NDRC diesel oil price is constructed.The basic form of diesel price insurance with fragmentation and scene of Chinese trucks was accurately sketched.The NDRC diesel price was fitted by random process with periodic characteristics,and the forward effective diesel price insurance pricing model based on deferred arithmetic average Asian option method was constructed.The first-order approximate pricing analytical formula was derived to enrich the pricing theory of refined oil derivatives.Third,the hedging strategy of truck NDRC diesel price insurance is constructed.Based on the risk-neutral principle and the NDRC diesel price insurance pricing model,the analytical solution of the insurance sensitivity parameters was derived,and then two dynamic hedging strategies of inverse Delta neutral and interval based on NDRC diesel "virtual" futures hedging targets were constructed to solve the theoretical problem of diesel price insurance risk shifting.Finally,a case study is used to verify the diesel price insurance theory of truck NDRC for road transport self-employed and small and medium-sized enterprises.The results show that the results of the insurance pricing model of truck NDRC diesel price constructed in this thesis are more accurate than those of the traditional Turnbull-Wakeman option,and the two dynamic hedging effects of inverse Delta neutral and interval based on the replicated NDRC diesel "virtual" futures as hedging objects also show good safety and robustness.In this thesis,the diesel price insurance of truck NDRC for road transport individuals and small and mediumsized enterprises not only extends the long-term effective arithmetic average Asian option risk management theory,but also provides an effective means for the control of diesel cost of road transport individuals and small and medium-sized enterprises.