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2 results

  • ON MULTI-ASSET SPREAD OPTION PRICING IN A WICK–ITÔ–SKOROHOD INTEGRAL FRAMEWORK

  • Part of
  • XIANGXING TAO, YAFENG SHI
  • Journal:
    The ANZIAM Journal / Volume 58 / Issue 3-4 / April 2017
    Published online by Cambridge University Press:
    24 May 2017, pp. 386-396
    • Article
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  • We provide an elementary method for exploring pricing problems of one spread options within a fractional Wick–Itô–Skorohod integral framework. Its underlying assets come from two different interactive markets that are modelled by two mixed fractional Black–Scholes models with Hurst parameters, $H_{1}\neq H_{2}$, where $1/2\leq H_{i}<1$ for $i=1,2$. Pricing formulae of these options with respect to strike price $K=0$ or $K\neq 0$ are given, and their application to the real market is examined.

  • Pricing of Forwards and Options in a Multivariate Non-Gaussian Stochastic Volatility Model for Energy Markets

  • Part of
  • F. E. Benth, L. Vos
  • Journal:
    Advances in Applied Probability / Volume 45 / Issue 2 / June 2013
    Published online by Cambridge University Press:
    22 February 2016, pp. 572-594
    Print publication:
    June 2013
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  • In Benth and Vos (2013) we introduced a multivariate spot price model with stochastic volatility for energy markets which captures characteristic features, such as price spikes, mean reversion, stochastic volatility, and inverse leverage effect as well as dependencies between commodities. In this paper we derive the forward price dynamics based on our multivariate spot price model, providing a very flexible structure for the forward curves, including contango, backwardation, and hump shape. Moreover, a Fourier transform-based method to price options on the forward is described.