CROSS-COMMODITY SPOT PRICE MODELING WITH STOCHASTIC VOLATILITY AND LEVERAGE 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; Ornstein-Uhlenbeck process; stochastic volatility; leverage; subordinator; FINANCIAL ECONOMICS; DERIVATIVES; BEHAVIOR;
D O I：
10.1239/aap/1370870129
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：
Spot prices in energy markets exhibit special features, such as price spikes, mean reversion, stochastic volatility, inverse leverage effect, and dependencies between the commodities. In this paper a multivariate stochastic volatility model is introduced which captures these features. The second-order structure and stationarity of the model are analyzed in detail. A simulation method for Monte Carlo generation of price paths is introduced and a numerical example is presented.
引用
收藏
页码：545 / 571
页数：27
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