具有独立增量的离散时间过程方差最优对冲。电力市场应用

IF 0.8 4区经济学 Q4 BUSINESS, FINANCE

Journal of Computational Finance Pub Date : 2012-05-17 DOI:10.21314/JCF.2013.261

Stéphane Goutte, N. Oudjane, F. Russo

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引用次数: 13

摘要

我们考虑Benth及其合作者为电力市场引入的(连续时间)双因素模型的离散化版本。对于这个模型，底层是独立随机变量和的指数。我们提出并测试了一种基于著名的Foellmer-Schweizer分解的算法来解决均值-方差对冲问题。特别地，我们明确地建立了这种分解，对于一大类香草或有权利要求。关注的是再平衡日期的选择及其对对冲误差的影响，以及对数价格过程的支付规律和非平稳性。

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Variance Optimal Hedging for discrete time processes with independent increments. Application to Electricity Markets

We consider the discretized version of a (continuous-time) two-factor model introduced by Benth and coauthors for the electricity markets. For this model, the underlying is the exponent of a sum of independent random variables. We provide and test an algorithm, which is based on the celebrated Foellmer-Schweizer decomposition for solving the mean-variance hedging problem. In particular, we establish that decomposition explicitely, for a large class of vanilla contingent claims. Interest is devoted in the choice of rebalancing dates and its impact on the hedging error, regarding the payoff regularity and the non stationarity of the log-price process.

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来源期刊

Journal of Computational Finance BUSINESS, FINANCE-

CiteScore

0.90

自引率

0.00%

发文量

期刊介绍： The Journal of Computational Finance is an international peer-reviewed journal dedicated to advancing knowledge in the area of financial mathematics. The journal is focused on the measurement, management and analysis of financial risk, and provides detailed insight into numerical and computational techniques in the pricing, hedging and risk management of financial instruments. The journal welcomes papers dealing with innovative computational techniques in the following areas: Numerical solutions of pricing equations: finite differences, finite elements, and spectral techniques in one and multiple dimensions. Simulation approaches in pricing and risk management: advances in Monte Carlo and quasi-Monte Carlo methodologies; new strategies for market factors simulation. Optimization techniques in hedging and risk management. Fundamental numerical analysis relevant to finance: effect of boundary treatments on accuracy; new discretization of time-series analysis. Developments in free-boundary problems in finance: alternative ways and numerical implications in American option pricing.