英文标题：
《Pricing of commodity derivatives on processes with memory》
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作者：
Fred Espen Benth, Asma Khedher, Mich\\`ele Vanmaele
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最新提交年份：
2017
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英文摘要：
Spot option prices, forwards and options on forwards relevant for the commodity markets are computed when the underlying process S is modelled as an exponential of a process {\\xi} with memory as e.g. a L\\\'evy semi-stationary process. Moreover a risk premium \\r{ho} representing storage costs, illiquidity, convenience yield or insurance costs is explicitly modelled as an Ornstein-Uhlenbeck type of dynamics with a mean level that depends on the same memory term as the commodity. Also the interest rate is assumed to be stochastic. To show the existence of an equivalent pricing measure Q for S we relate the stochastic differential equation for {\\xi} to the generalised Langevin equation. When the interest rate is deterministic the process ({\\xi}; \\r{ho}) has an affine structure under the pricing measure Q and an explicit expression for the option price is derived in terms of the Fourier transform of the payoff function.
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中文摘要：
当基础过程S被建模为过程{xi（xi}的指数，记忆为一个L掼vy半平稳过程时，计算与商品市场相关的现货期权价格、远期和远期期权。此外，代表存储成本、流动性不足、便利收益或保险成本的风险保费被明确建模为Ornstein-Uhlenbeck类型的动力学，其平均水平取决于与商品相同的记忆项。此外，假设利率是随机的。为了证明S的等价定价测度Q的存在性，我们将{\\xi}的随机微分方程与广义Langevin方程联系起来。当利率是确定性的时，过程（{\\xi}；\\r{ho}）在定价测度Q下具有仿射结构，并根据支付函数的傅立叶变换导出期权价格的显式表达式。
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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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