英文标题：
《Pricing and hedging of energy spread options and volatility modulated
Volterra processes》
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作者：
Fred Espen Benth, Hanna Zdanowicz
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最新提交年份：
2014
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英文摘要：
We derive the price of a spread option based on two assets which follow a bivariate volatility modulated Volterra process dynamics. Such a price dynamics is particularly relevant in energy markets, modelling for example the spot price of power and gas. Volatility modulated Volterra processes are in general not semimartingales, but contain several special cases of interest in energy markets like for example continuous-time autoregressive moving average processes. Based on a change of measure, we obtain a pricing expression based on a univariate Fourier transform of the payoff function and the characteristic function of the price dynamics. Moreover, the spread option price can be expressed in terms of the forward prices on the underlying dynamics assets. We compute a linear system of equations for the quadratic hedge for the spread option in terms of a portfolio of underlying forward contracts.
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中文摘要：
我们推导了基于两种资产的价差期权的价格，这两种资产遵循二元波动率调制Volterra过程动力学。这种价格动态在能源市场中尤其重要，例如，对电力和天然气的现货价格进行建模。波动率调制的Volterra过程通常不是半鞅，但包含能源市场中感兴趣的几个特殊情况，例如连续时间自回归移动平均过程。基于测度的变化，我们得到了基于支付函数和价格动态特征函数的一元傅里叶变换的定价表达式。此外，差价期权价格可以用标的动态资产的远期价格来表示。我们计算了一个线性方程组，用于根据基础远期合约的投资组合对利差期权进行二次套期保值。
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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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一级分类：Mathematics 数学
二级分类：Probability 概率
分类描述：Theory and applications of probability and stochastic processes: e.g. central limit theorems, large deviations, stochastic differential equations, models from statistical mechanics, queuing theory
概率论与随机过程的理论与应用：例如中心极限定理，大偏差，随机微分方程，统计力学模型，排队论
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