Affine‐Structure Models and the Pricing of Energy Commodity Derivatives
研究了带跳跃和Heston型随机波动率的季节性均值回复模型，用于能源商品期货和亚式期权定价，并用欧美五种石油产品数据验证了跳跃和随机波动率的重要性。
Abstract We consider a seasonal mean‐reverting model for energy commodity prices with jumps and Heston‐type stochastic volatility, and three nested models for comparison. By exploiting the affine form of the log‐spot models, we develop a general valuation framework for futures and discrete arithmetic Asian options. We investigate five major petroleum commodities from Europe (Brent crude oil, gasoil) and US (light sweet crude oil, gasoline, heating oil) and analyse the effects of the competing fitted spot models in futures pricing, Asian options pricing and hedging. We find evidence that price jumps and stochastic volatility are important features of the petroleum price dynamics.