多元边界场的跨商品建模

ERN: Other Econometric Modeling: Commodity Markets (Topic) Pub Date : 2014-01-20 DOI:10.2139/ssrn.2381841

O. Barndorff-Nielsen, F. Benth, Almut E. D. Veraart

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引用次数: 16

摘要

本文提出了一种基于多元边界域的商品期货曲线多元模型。我们展示了如何使用多元边界域来描述商品之间的复杂依赖关系，同时保持在可处理的多元鞅框架中。此外，我们详细研究了如何在我们的新范围框架中定价价差期权。这里我们既考虑一种商品的日历点差，也考虑不同商品期货的点差期权。

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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Cross-Commodity Modelling by Multivariate Ambit Fields

This paper proposes a multivariate model for commodity forward curves which is based on multivariate ambit fields.We show how a multivariate ambit field can be used to describe complex dependencies between commodities while staying in a tractable multivariate martingale framework. Moreover, we study in detail how spread options can be priced in our new ambit framework. Here we consider both calendar spreads written on one commodity as well as spread options on different commodity futures.

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来源期刊

ERN: Other Econometric Modeling: Commodity Markets (Topic)

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