Equilibrium pricing of European crude oil options with stochastic behaviour and risks

被引：10
|
作者：
Hu, Zhihao [1 ,2 ]
Yang, Ben-Zhang [3 ]
He, Xin-Jiang [4 ,5 ]
Yue, Jia [6 ]
机构：
[1] Chinese Acad Social Sci, Natl Inst Finance & Dev, Beijing, Peoples R China
[2] Chinese Acad Social Sci, Inst Finance & Banking, Beijing, Peoples R China
[3] China Construct Bank, Beijing, Peoples R China
[4] Zhejiang Univ Technol, Sch Econ, Hangzhou, Peoples R China
[5] Zhejiang Univ Technol, Inst Ind Syst Modernizat, Hangzhou, Peoples R China
[6] South Western Univ Finance & Econ, Dept Econ Math, Chengdu, Peoples R China
来源：
MATHEMATICS AND COMPUTERS IN SIMULATION | 2024年 / 219卷
基金：
中国国家自然科学基金;
关键词：
Crude oil; Equilibrium option pricing; Stochastic convenience yield; Jump risk; Stochastic volatility; Nonlinear dynamics; JUMP-DIFFUSION MODEL; CONVENIENCE YIELD; COMMODITY FUTURES; VOLATILITY; DERIVATIVES; VALUATION; FRAMEWORK;
D O I：
10.1016/j.matcom.2023.12.020
中图分类号：
TP39 [计算机的应用];
学科分类号：
081203 ; 0835 ;
摘要：
In this paper, we investigate the pricing of European crude oil options under nonlinear dynamics with stochastic behaviour and jump risks, incorporating the features of arising convenience yield of crude oil and potential extreme fluctuation in the dynamics of crude oil prices. We present a closed-form solution to European crude oil option prices under an incomplete market setting, after deriving the pricing kernel with the equilibrium method and determining the risk neutral dynamics of crude oil prices. We extend our model to a mean-reverting stochastic volatility case, which also admits an analytical formula for the equilibrium price of European crude-oil options. Finally, our model is shown to be consistent with a number of interesting facts documented in the recent literature.
引用
收藏
页码：212 / 230
页数：19
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