英文标题：
《A change of measure preserving the affine structure in the BNS model for
commodity markets》
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作者：
Fred Espen Benth and Salvador Ortiz-Latorre
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最新提交年份：
2014
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英文摘要：
For a commodity spot price dynamics given by an Ornstein-Uhlenbeck process with Barndorff-Nielsen and Shephard stochastic volatility, we price forwards using a class of pricing measures that simultaneously allow for change of level and speed in the mean reversion of both the price and the volatility. The risk premium is derived in the case of arithmetic and geometric spot price processes, and it is demonstrated that we can provide flexible shapes that is typically observed in energy markets. In particular, our pricing measure preserves the affine model structure and decomposes into a price and volatility risk premium, and in the geometric spot price model we need to resort to a detailed analysis of a system of Riccati equations, for which we show existence and uniqueness of solution and asymptotic properties that explains the possible risk premium profiles. Among the typical shapes, the risk premium allows for a stochastic change of sign, and can attain positive values in the short end of the forward market and negative in the long end.
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中文摘要：
对于Barndorff-Nielsen和Shephard随机波动率的Ornstein-Uhlenbeck过程给出的商品现货价格动态，我们使用一类同时考虑价格和波动率均值反转水平和速度变化的定价措施对远期进行定价。风险溢价是在算术和几何现货价格过程的情况下得出的，并且证明了我们可以提供在能源市场中通常观察到的灵活形状。特别是，我们的定价措施保留了仿射模型结构，并分解为价格和波动性风险溢价，在几何现货价格模型中，我们需要借助于对Riccati方程组的详细分析，我们证明了解的存在性和唯一性，以及解释可能的风险溢价曲线的渐近性质。在典型的形态中，风险溢价允许符号的随机变化，并且在远期市场的短端可以达到正值，在长端可以达到负值。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Pricing of Securities 证券定价
分类描述：Valuation and hedging of financial securities, their derivatives, and structured products
金融证券及其衍生产品和结构化产品的估值和套期保值
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