Futures pricingnbased on stable CARMA-COGARCH stochastic models
کد مقاله : 1114-FEMATH
محسن رضاپور *
هیات علمی
چکیده مقاله:
Continuous-time models play a crucial role in modern finance. They provide the basis of option pricing, asset allocation, risk return tradeoff and term structure theory. However, the resulting models can be cumbersome to estimate with time-series data, due to the need to filter the unobserved stochastic volatility and jump intensity. In the modern financial mathematic dependency among different assets was taken into account in the recent years. A non-stationary independent increments process for the low-frequency dynamics, was introduced in the literature to model the largenfluctuations of futures prices byna non-Gaussian stable CARMA process. The volatility of that models are assumed to be constant while the practical data may have stochastic volatility. One of the most efficient model that be considered as a stochastic volatility to analysis financial data is a continuous time GARCH (COGARCH) process driven by a pure jump levy process. Here, by considering an empirical and theoretical risk premiums of a non-Gaussian stable CARMA process with a COGARCH process as its volatility, we analysis future prices in an electricity market.
کلیدواژه ها:
CARMA process, COGARCH process, Future pricing, electricity market.
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