Revisiting the two-factor valuation of futures contracts, we propose a new pricing model for financial futures and their derivatives. The linkage between the money market funding rate and the underlying asset price is stochastic and state-dependent, in compliance with investors’ arbitrage strategies. The model explicitly captures the impact of interest rate expectations in the marking-to-market feature of futures, as predicted by Cox, Ingersoll, and Ross (1981) theory. The backwardation vs. contango regime of financial futures depends on a new parameter, the contango factor, which paves the way for future empirical studies. Akin to the implied volatility of option contracts, the contango factor provides market participants with a universal gauge of futures contracts’ level of contango, consistent across futures markets and maturities. Our numerical simulations show significant deviations from the traditional cost-of-carry model of futures prices, with price deviations above 1% even for short-term futures contracts.

重新审视期货合约的双因素估值，我们提出了一种新的金融期货及其衍生品的定价模型。货币市场融资利率与标的资产价格之间的联系是随机的、依赖于状态的，符合投资者的套利策略。正如 Cox、Ingersoll 和 Ross (1981) 理论所预测的那样，该模型明确捕捉了利率预期对期货盯市特征的影响。金融期货的现货溢价与升水机制取决于一个新参数，即升水因子，它为未来的实证研究铺平了道路。类似于期权合约的隐含波动率，升水因子为市场参与者提供了期货合约升水水平的通用衡量标准，在期货市场和到期日之间保持一致。