Implementing Three-factor Model: Empirical Analysis of the Fuel Oil Futures Price at Shanghai Futures Exchange

China´s futures market is an emerging market which has only existed for more than 10 years. In recent years, this market steps into a quick development period and proposes enormous challenge for the academics and practitioners, such as futures pricing model, trading strategy, risk management and government regulation. This paper introduces an excellent three- factor future pricing model and analyzes the model empirically by employing the fuel oil future price data. From the empirical results, we find that this model fits the data well. We aim to provide a good and simple pricing tool for institution and individual investors and promote the pricing model application in China´s futures market.