PRICING OF FORWARDS AND OPTIONS IN A MULTIVARIATE NON-GAUSSIAN STOCHASTIC VOLATILITY MODEL FOR ENERGY MARKETS

被引：0
|
作者：
Benth, F. E. [1 ]
Vos, L. [1 ]
机构：
[1] Univ Oslo, N-0316 Oslo, Norway
来源：
ADVANCES IN APPLIED PROBABILITY | 2013年 / 45卷 / 02期
关键词：
Energy market; forward pricing; spread option; subordinator; stochastic volatility;
D O I：
暂无
中图分类号：
O21 [概率论与数理统计]; C8 [统计学];
学科分类号：
020208 ; 070103 ; 0714 ;
摘要：
In Benth and Vos (2013) we introduced a multivariate spot price model with stochastic volatility for energy markets which captures characteristic features, such as price spikes, mean reversion, stochastic volatility, and inverse leverage effect as well as dependencies between commodities. In this paper we derive the forward price dynamics based on our multivariate spot price model, providing a very flexible structure for the forward curves, including contango, backwardation, and hump shape. Moreover, a Fourier transform-based method to price options on the forward is described.
引用
收藏
页码：572 / 594
页数：23
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