کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
11020518 1716299 2018 41 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
From the Samuelson volatility effect to a Samuelson correlation effect: An analysis of crude oil calendar spread options
ترجمه فارسی عنوان
از اثر بی ثباتی ساموئلسون به یک اثر همبستگی ساموئلسون: تجزیه و تحلیل گزینه های گسترش تقویم نفت خام
موضوعات مرتبط
علوم انسانی و اجتماعی اقتصاد، اقتصادسنجی و امور مالی اقتصاد و اقتصادسنجی
چکیده انگلیسی
Our first aim in this paper is to introduce a futures-based model able of capturing the main features displayed by Crude Oil futures and options contracts, such as the Samuelson volatility effect and the volatility smile. We calculate the joint characteristic function of two futures contracts in the model in analytic form and use it to price calendar spread options. In an empirical application we show that the model, in contrast to simpler nested models, can be successfully calibrated to market prices of vanilla and calendar spread options. Our second aim is to use this model to analyze the dependence structure of Crude Oil futures contracts. To this end, we propose analytical expressions giving the copula and copula density directly in terms of the joint characteristic function. These tools allow us to perform an in-depth analysis for pairs of futures, and we observe a phenomenon we call the Samuelson correlation effect.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Banking & Finance - Volume 95, October 2018, Pages 185-202
نویسندگان
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