方差相关OU过程的精确模拟:在能源衍生品定价中的应用

Q3 Mathematics

Applied Mathematical Finance Pub Date : 2020-04-14 DOI:10.1080/1350486X.2020.1813040

P. Sabino

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引用次数: 12

摘要

在本研究中，我们使用了一个三步程序，将广义Ornstein-Uhlenbeck过程的平稳律的自分解性与该过程的过渡律联系起来。基于这一过程和Qu、Dassios和Zhao(2019)的结果，我们推导了方差伽玛和对称方差伽玛驱动的Ornstein-Uhlenbeck过程的骨架的精确模拟，而不需要数值反演。大量的数值实验证明了我们的算法的准确性和效率。这些结果有助于模拟能源市场的现货价格动态，并通过蒙特卡洛模拟在类似于康明斯，Kiely和墨菲(2017,2018)中讨论的框架中对亚洲期权和天然气储存进行定价。

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Exact Simulation of Variance Gamma-Related OU Processes: Application to the Pricing of Energy Derivatives

ABSTRACT In this study we use a three-step procedure that relates the self-decomposability of the stationary law of a generalized Ornstein-Uhlenbeck process to the transition law of such processes. Based on this procedure and the results of Qu, Dassios, and Zhao (2019), we derive the exact simulation, without numerical inversion, of the skeleton of a Variance Gamma and of a symmetric Variance Gamma driven Ornstein-Uhlenbeck process. Extensive numerical experiments are reported to demonstrate the accuracy and efficiency of our algorithms. These results are instrumental to simulate the spot price dynamics in energy markets and to price Asian options and gas storages by Monte Carlo simulations in a framework similar to the one discussed in Cummins, Kiely and Murphy (2017, 2018).

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来源期刊

Applied Mathematical Finance Economics, Econometrics and Finance-Finance

CiteScore

2.30

自引率

0.00%

发文量

期刊介绍： The journal encourages the confident use of applied mathematics and mathematical modelling in finance. The journal publishes papers on the following: •modelling of financial and economic primitives (interest rates, asset prices etc); •modelling market behaviour; •modelling market imperfections; •pricing of financial derivative securities; •hedging strategies; •numerical methods; •financial engineering.