Định giá và mô phỏng quyền chọn châu Á hàng hóa trong mô hình 4 yếu tố với sự cụm nhảy
Tóm tắt
Từ khóa
#Quyền chọn châu Á #mô hình 4 yếu tố #giá hàng hóa #sự cụm nhảy #định giá quyền chọnTài liệu tham khảo
Andersen, L. (2008). Simple and efficient simulation of the Heston stochastic volatility model. Journal of Computational Finance, 11, 1–42.
Applebaum, D. (2004). Lévy processes and stochastic calculus. Cambridge: Cambridge University Press.
Barone-Adesi, G., & Whaley, R. (1987). Efficient analytic approximation of American option values. Journal of Finance, 42, 301–320.
Begin, J., Bedard, M., & Gaillardetz, P. (2015). Simulating from the Heston model: A gamma approximation scheme. Monte Carlo Methods and Applications, 21, 205–231.
Benth, F. E. (2011). The stochastic volatility model of Barndorff-Nielsen and Shephard in commodity markets. Mathematical Finance, 21, 595–625.
Bernis, G., Brignone, R., Scotti, S., & Sgarra, C. (2021). A Gamma Ornstein-Uhlenbeck model driven by a Hawkes process. Mathematics and Financial Economics, 15, 747–773.
Bessembinder, H., Coughenour, J. F., Seguin, P. J., & Smoller, M. M. (1995). Mean reversion in equilibrium asset prices: Evidence from the futures term structure. Journal of Finance, 50, 361–375.
Brémaud, P., & Massoulié, L. (1996). Stability of nonlinear Hawkes processes. Annals of Applied Probability, 24, 1563–1588.
Brignone, R., Kyriakou, I., & Fusai, G. (2021). Moment-matching approximations for stochastic sums in non-Gaussian Ornstein-Uhlenbeck models. Insurance: Mathematics and Economics, 96, 232–247.
Brignone, R., & Sgarra, C. (2020). Asian options pricing in Hawkes-type jump-diffusion models. Annals of Finance, 16, 101–119.
Broadie, M., & Kaya, O. (2006). Exact simulation of stochastic volatility and other affine jump diffusion processes. Operations Research, 54, 217–231.
Brooks, C., & Prokopczuk, M. (2013). The dynamics of commodity prices. Quantitative Finance, 13, 527–542.
Cai, N., Li, C., & Shi, C. (2014). Closed-form expansions of discretely monitored Asian options in diffusion models. Mathematics of Operations Research, 39, 789–822.
Cai, N., Song, T., & Chen, N. (2017). Exact simulation of the SABR model. Operations Research, 65, 931–951.
Callegaro, G., Gaïgi, M., Scotti, S., & Sgarra, C. (2017). Optimal investment in markets with over and under-reaction to information. Mathematics and Financial Economics, 11, 299–322.
Casassus, J., & Collin-Dufresne, P. (2005). Stochastic convenience yield implied from commodity futures and interest rates. Journal of Finance, 15, 2283–2331.
Chung, S., & Wong, H. Y. (2014). Analytical pricing of discrete arithmetic Asian options with mean reversion and jumps. Journal of Banking and Finance, 44, 130–140.
Cortazar, G., Lopez, M., & Naranjo, L. (2017). A multifactor stochastic volatility model of commodity prices. Energy Economics, 67, 182–201.
Cox, J., Ingersoll, J., & Ross, S. (1985). A theory of the term structure of interest rates. Econometrica, 53, 385–407.
Da Fonseca, J., & Zaatour, R. (2014). Hawkes process: Fast calibration, application to trade clustering and diffusive limit. Journal of Futures Markets, 34(6), 548–579.
Dassios, A., & Zhao, H. (2013). Exact simulation of Hawkes process with exponentially decaying intensity. Electronic Communications in Probability, 18, 1–13.
Dawson, D., & Li, Z. (2012). Stochastic equations, flows and measure-valued processes. Annals of Probability, 40, 813–857.
Duffie, D., & Glynn, P. (1995). Efficient Monte Carlo estimation of security prices. Annals of Applied Probability, 4, 897–905.
Errais, E., Giesecke, K., & Goldberg, L. (2010). Affine point processes and portfolio credit risk. SIAM Journal on Financial Mathematics, 1, 642–665.
Eydeland, A., & Geman, H. (1998). Pricing power derivatives. Risk, 71–73.
Fang, F., & Oosterlee, C. (2008). A novel pricing method for European options based on Fourier-cosine series expansions. SIAM Journal on Scientific Computing, 31, 826–848.
Filimonov, V., Bicchetti, D., Maystre, N., & Sornette, D. (2014). Quantification of the high level of endogeneity and of structural regime shifts in commodity markets. Journal of International Money and Finance, 42, 174–192.
Fulop, A., & Li, J. (2019). Bayesian estimation of dynamic asset pricing models with informative observations. Journal of Econometrics, 209, 114–138.
Fusai, G., & Kyriakou, I. (2016). General optimized lower and upper bounds for discrete and continuous arithmetic Asian options. Mathematics of Operations Research, 41, 531–559.
Fusai, G., Marena, M., & Roncoroni, A. (2008). Analytical pricing of discretely monitored Asian-style options: Theory and application to commodity markets. Journal of Banking and Finance, 32, 2033–2045.
Geman, H. (2000). Scarcity and price volatility in oil markets. EDF Trading Technical Report.
Gibson, R., & Schwartz, E. S. (1990). Stochastic convenience yield and the pricing of oil contingent claims. Journal of Finance, 45, 959–976.
Glasserman, P. (2004). Monte Carlo methods in financial engineering. Stochastic modelling and applied probability. New York: Springer.
Glasserman, P., & Kim, K. K. (2011). Gamma expansion of the Heston stochastic volatility model. Finance and Stochastics, 15, 267–296.
Gonzato, L. & Sgarra, C. (2021) Self-exciting jumps in the oil market: Bayesian estimation and dynamic hedging. Energy Economics 99.
Hainaut, D., & Moraux, F. (2018). Hedging of options in the presence of jump clustering. Journal of Computational Finance, 22, 1–35.
Hawkes, A., & Oakes, D. (1974). A cluster process representation of a self-exciting process. Journal of Applied Probability, 11, 493–503.
Hubalek, F., Keller-Ressel, M., & Sgarra, C. (2017). Geometric Asian option pricing in general affine stochastic volatility models with jumps. Quantitative Finance, 17, 873–888.
Jiao, Y., Ma, C., Scotti, S., & Sgarra, C. (2019). A branching process approach to power markets. Energy Economics, 79, 144–156.
Kaminski, V. (1999). Managing energy price risk. London: Risk Books.
Karatzas, J., & Shreve, S. (1991). Brownian motion and stochastic calculus. New York: Springer.
Kemna, A., & Vorst, A. (1990). A pricing method for options based on average asset values. Journal of Banking and Finance, 14, 113–129.
Kienitz, J., & Wetterau, D. (2012). Financial modelling - theory, implementation and practice with Matlab. Wiley Finance Series (2nd ed.).
Kyriakou, I., Brignone, R. & Fusai, G. (Forthcoming) Unified moment–based modelling of integrated stochastic processes. Operations Research.
Larsson, K., & Nossman, N. (2011). Jumps and stochastic volatility in oil prices: Time series evidence. Energy Economics, 33, 504–514.
Li, C., & Wu, L. (2019). Exact simulation of the Ornstein-Uhlenbeck driven stochastic volatility model. European Journal of Operational Research, 275, 768–779.
Massoulié, L. (1998). Stability results for a general class of interacting point processes dynamics, and applications. Stochastic Processes and their Applications, 75, 1–30.
Meade, N. (2010). Oil prices - Brownian motion or mean reversion? A study using a one year ahead density forecast criterion. Energy Economics, 32, 1485–1498.
Morariu-Patrichi, M., & Pakkanen, M. (2018). Hybrid marked point processes: Characterization, existence and uniqueness. Market Microstructure and Liquidity, 4, 1950007.
Roncoroni, A., Fusai, G. & Cummins, M. (2015) Handbook of multi-commodity markets and products: Structuring, trading and risk management. The Wiley Finance Series. Chichester, West Sussex: John Wiley & Sons.
Rouah, F. D. (2013). The Heston model and its extensions in Matlab and C#. Wiley Finance Series, (2 edn).
Routledge, B., Seppi, D., & Spatt, C. (2000). Equilibrium forward curves for commodities. Journal of Finance, 55, 1297–1338.
Schöne, M., & Spinler, S. (2017). A four-factor stochastic volatility model of commodity prices. Review of Derivatives Research, 20, 135–165.
Schwartz, E. S. (1997). The stochastic behavior of commodity prices: Implications for valuation and hedging. Journal of Finance, 52, 923–973.
Shiraya, K., & Takahashi, A. (2011). Pricing average options on commodities. The Journal of Futures Markets, 31, 407–439.
Sokol, A., & Hansen, N. (2015). Exponential martingales and changes of measure for counting processes. Stochastic Analysis and Applications, 33, 823–843.
Trolle, A. B., & Schwartz, E. S. (2009). Unspanned stochastic volatility and the pricing of commodity derivatives. Review of Financial Studies, 22, 4423–4461.
Wong, H. Y., & Lo, Y. W. (2009). Option pricing with mean reversion and stochastic volatility. European Journal of Operational Research, 197, 179–187.
World Federation of Exchanges. (2019). The WFE’s Derivatives Report 2019. Available at https://www.world-exchanges.org/storage/app/media/IOMA%202020/FH1.2019%20IOMA%20report_%20v13.pdf
Yan, X. (2002). Valuation of commodity derivatives in a new multi-factor model. Review of Derivatives Research, 5, 251–271.
