发帖
雷达卡
Pricing Exotic Power Options.pdf
(1.47 MB, 需要: 1 个论坛币)
Pricing Exotic Power Options
Peder Hansen
Jun 2014
Abstract
A two folded thesis concerning the pricing of an exotic option with Nord Pool spot price as underlying, namely an Asian option. The project is made in collaboration with the business unit Portfolio Management, which belongs to the business division Asset Optimization and Trading, at Vattenfall AB. In the rst part of the thesis existing ideas regarding the dynamics of the Nord Pool spot price are extended.
A three factor mean reverting jump process is assumed to re ect the spot price. The model incorporates a seasonal price trend estimated by wavelets and non-stationary jump processes estimated by a moving average approach. In the second part we use the model to price an arithmetic average Asian option. We use the Monte Carlo method and simulate paths of the underlying and apply the contract function. The model is evaluated by comparing the characteristics of the simulated trajectories versus the historical spot prices.
京公网安备 11010802022788号
