论文标题
定价能源合同在政权转换时变化的模型
Pricing Energy Contracts under Regime Switching Time-Changed models
论文作者
论文摘要
流行的黑色 - choles-Merton（BSM）模型的缺点导致了模型，该模型可以更准确地模拟能源市场中基础资产的行为，尤其是在电力和未来的石油价格方面。在本文中，我们考虑了一类制度切换随时间变化的征费过程，该过程通过通过随机时钟的跳跃并根据两态连续时间马尔可夫链进行随机变化的参数来建立BSM模型。我们根据\ cite {傅里叶}中的特征函数的扩展实现定价方法。最后，我们通过使用多种方法合并历史能量数据和期权报价来估算模型的参数。
The shortcomings of the popular Black-Scholes-Merton (BSM) model have led to models which could more accurately model the behavior of the underlying assets in energy markets, particularly in electricity and future oil prices. In this paper we consider a class of regime switching time-changed Levy processes, which builds upon the BSM model by incorporating jumps through a random clock, as well as randomly varying parameters according to a two-state continuous-time Markov chain. We implement pricing methods based on expansions of the characteristic function as in \cite{Fourier}. Finally, we estimate the parameters of the model by incorporating historic energy data and option quotes using a variety of methods.
