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Commodity Asian Option Pricing and Simulation in a 4-Factor Model with Jump Clusters

Riccardo BrignoneLuca GonzatoCarlo Sgarra

出版	SSRN, 2022
URL	http://books.google.com.hk/books?id=t5LczwEACAAJ&hl=&source=gbs_api

註釋

Mean reversion, stochastic volatility, convenience yield and presence of jump clustering are well documented salient features of commodity markets, where Asian options are very popular. We propose a model which takes into account all these stylized features. We first state our model under the historical measure, then, after introducing a structure preserving change of measure, we provide a risk-neutral version of the same model and we show how to price geometric and arithmetic Asian options. To this end, we derive semi-closed formulas for the geometric Asian options price and develop a computationally efficient simulation scheme for the price process, allowing to price the arithmetic counterparts using control variate technique. Finally, we propose a simple econometric experiment to document presence of jump clusters in commodity prices and evaluate the performances of the proposed simulation scheme on some parameter sets calibrated on real data.