文章基本信息

标题：Pricing of Commodity Derivatives on Processes with Memory
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作者：Fred Espen Benth ; Asma Khedher ; Michèle Vanmaele 等
期刊名称：Risks
印刷版ISSN：2227-9091
出版年度：2020
卷号：8
期号：1
页码：8
DOI：10.3390/risks8010008
语种：English
出版社：MDPI, Open Access Journal
摘要：Spot option prices, forwards and options on forwards relevant for the commodity markets are computed when the underlying process iS/i is modelled as an exponential of a process inline-formula math display="inline" semantics mi#958;/mi /semantics /math /inline-formula with memory as, e.g., a Volterra equation driven by a L#233;vy process. Moreover, the interest rate and a risk premium inline-formula math display="inline" semantics mi#961;/mi /semantics /math /inline-formula representing storage costs, illiquidity, convenience yield or insurance costs, are assumed to be stochastic. When the interest rate is deterministic and the risk premium is explicitly modelled as an Ornstein-Uhlenbeck type of dynamics with a mean level that depends on the same memory term as the commodity, the process inline-formula math display="inline" semantics mrow mo(/mo mi#958;/mi mo;/mo mi#961;/mi mo)/mo /mrow /semantics /math /inline-formula has an affine structure under the pricing measure inline-formula math display="inline" semantics mi mathvariant="double-struck"Q/mi /semantics /math /inline-formula and an explicit expression for the option price is derived in terms of the Fourier transform of the payoff function.