کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
5063589 1476697 2017 20 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
A multifactor stochastic volatility model of commodity prices
ترجمه فارسی عنوان
مدل نوسانات تصادفی چند متغیره قیمت کالاها
موضوعات مرتبط
مهندسی و علوم پایه مهندسی انرژی انرژی (عمومی)
چکیده انگلیسی

We propose a novel representation of commodity spot prices in which the cost-of-carry and the spot price volatility are both driven by an arbitrary number of risk factors, nesting many existing specifications. The model exhibits unspanned stochastic volatility, provides simple closed-form expressions of commodity futures, and yields analytic formulas of European options on futures. We estimate the model using oil futures and options data, and find that the pricing of traded contracts is accurate for a wide range of maturities and strike prices. The results suggest that at least three risk factors in the spot price volatility are needed to accurately fit the volatility surface of options on oil futures, highlighting the importance of using general multifactor models in pricing commodity contingent claims.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Energy Economics - Volume 67, September 2017, Pages 182-201
نویسندگان
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