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英文标题：
《A Two Factor Forward Curve Model with Stochastic Volatility for
Commodity Prices》
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作者：
Mark Higgins
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最新提交年份：
2017
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英文摘要：
We describe a model for evolving commodity forward prices that incorporates three important dynamics which appear in many commodity markets: mean reversion in spot prices and the resulting Samuelson effect on volatility term structure, decorrelation of moves in different points on the forward curve, and implied volatility skew and smile. This model is a \"forward curve model\" - it describes the stochastic evolution of forward prices - rather than a \"spot model\" that models the evolution of the spot commodity price. Two Brownian motions drive moves across the forward curve, with a third Heston-like stochastic volatility process scaling instantaneous volatilities of all forward prices. In addition to an efficient numerical scheme for calculating European vanilla and early-exercise option prices, we describe an algorithm for Monte Carlo-based pricing of more generic derivative payoffs which involves an efficient approximation for the risk neutral drift that avoids having to simulate drifts for every forward settlement date required for pricing.
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中文摘要：
我们描述了一个商品远期价格演变模型，该模型包含了许多商品市场中出现的三个重要动态：现货价格的均值回归以及由此产生的对波动性期限结构的萨缪尔森效应、远期曲线上不同点的波动解相关以及隐含的波动性倾斜和微笑。该模型是一个“远期曲线模型”，它描述了远期价格的随机演变，而不是一个模拟现货商品价格演变的“现货模型”。两个布朗运动推动远期曲线的移动，第三个类似赫斯顿的随机波动过程缩放所有远期价格的瞬时波动。除了计算欧洲普通期权和提前行使期权价格的有效数值方案外，我们还描述了一种基于蒙特卡罗的更通用衍生工具收益定价算法，该算法涉及对风险中性漂移的有效近似，避免了必须模拟定价所需的每个远期结算日的漂移。
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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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