中文摘要：

为了验证看涨期权方法计算煤炭便利收益的有效性,在分析煤炭期货和现货价格相关性的基础上,提出了煤炭便利收益的计算方法。以动力煤期货和现货为研究对象,运用R语言对便利收益估计值与实际值进行实证分析。研究表明,煤炭实际便利收益被市场低估;在1%的显著性水平下估计便利收益项系数等于0.7941910,接近1;煤炭便利收益可以用看涨期权方法进行估计,估计值与实际值拟合较好,煤炭便利收益具备看涨期权特征。

英文摘要：

To verify the effectiveness of option advancing method to calculate coal convenience yields, based on the analysis of correlation between coal futures and spot price, the calculation method of coal convenience income was put forward. Taking the dynamic coal futures and spot as research object, the R language was used to analyze the estimated and actual value of convenience yields. The research results showed that the convenience of coal was been underestimated by market. The estimated convenience coefficient was 0. 7941910 under the 1 % level of significance. Coal convenience yields can be estimated by option advancing meth- od and the estimated value can be fitted with the actual one. Coal convenience income can be regarded as a advancing option.