Energy commodities and calendar spread options

IF 14.2 2区经济学 Q1 ECONOMICS

Energy Economics Pub Date : 2025-09-17 DOI:10.1016/j.eneco.2025.108809

Carme Frau , Gianluca Fusai , Ioannis Kyriakou

引用次数: 0

Abstract

We present a unified framework for pricing calendar spread options on energy commodities under affine models featuring stochastic volatility, jumps, and Samuelson effect. Expressions for the joint characteristic function of log-futures prices are derived, enabling efficient calibration and valuation. An empirical analysis, across WTI crude oil, HH natural gas, and ULSD heating oil shows that stochastic volatility models consistently outperform others. Jumps enhance short-term fit, while volatility dynamics matter more at longer maturities. The Black model remains competitive for short- and mid-term contracts.

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能源大宗商品和日历价差期权

在具有随机波动、跳跃和萨缪尔森效应的仿射模型下，我们提出了一个统一的能源商品日历价差期权定价框架。导出了对数期货价格联合特征函数的表达式，实现了有效的校准和估值。对WTI原油、HH天然气和ULSD取暖油的实证分析表明，随机波动率模型始终优于其他模型。跳涨增强了短期契合度，而波动性动态对较长期债券的影响更大。布莱克模式在短期和中期合同中仍然具有竞争力。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Energy Economics ECONOMICS-

CiteScore

18.60

自引率

12.50%

发文量

524

期刊介绍： Energy Economics is a field journal that focuses on energy economics and energy finance. It covers various themes including the exploitation, conversion, and use of energy, markets for energy commodities and derivatives, regulation and taxation, forecasting, environment and climate, international trade, development, and monetary policy. The journal welcomes contributions that utilize diverse methods such as experiments, surveys, econometrics, decomposition, simulation models, equilibrium models, optimization models, and analytical models. It publishes a combination of papers employing different methods to explore a wide range of topics. The journal's replication policy encourages the submission of replication studies, wherein researchers reproduce and extend the key results of original studies while explaining any differences. Energy Economics is indexed and abstracted in several databases including Environmental Abstracts, Fuel and Energy Abstracts, Social Sciences Citation Index, GEOBASE, Social & Behavioral Sciences, Journal of Economic Literature, INSPEC, and more.