The world oil prices have raised and fluctuated a lot during the past ten years. In order to hedge the risks, developing Chinese petroleum futures market is important. However, lacking pricing system is a main issue. In this paper, I use the two-factor model and a seemingly unrelated regression method from Gibson & Schwartz (1990) to price Chinas one-month crude oil future contract. First, I estimate the future prices by assuming that China has the same convenience yield as the U.S. market. Second, I study the possibilities of real convenience yield in China based on macroeconomic analysis....