Explicit Option Pricing Formula for a Mean-Reverting Asset in Energy Markets

Anatoliy Swishchuk
Additional contact information
Anatoliy Swishchuk: University of Calgary, Canada

Chapter 18 in Modeling and Pricing of Swaps for Financial and Energy Markets with Stochastic Volatilities, 2013, pp 255-271 from World Scientific Publishing Co. Pte. Ltd.

Abstract: AbstractThe following sections are included:IntroductionMean-Reverting Asset Model (MRAM)Explicit Option Pricing Formula for European Call Option for MRAM under Physical MeasureExplicit Solution of MRAMProperties of the Process $\tilde W(\varphi _t^{ - 1} )$Explicit Expression for the Process $\tilde W(\varphi _t^{ - 1} )$Some Properties of the Mean-Reverting Asset StExplicit Option Pricing Formula for European Call Option for MRAM under Physical MeasureMean-Reverting Risk-Neutral Asset Model (MRRNAM)Explicit Option Pricing Formula for European Call Option for MRRNAMExplicit Solution for the Mean-Reverting Risk-Neutral Asset ModelSome Properties of the Process $\tilde W^* ((\varphi _t^* )^{ - 1} )$Explicit Expression for the Process $\tilde W^* (\varphi _t^{ - 1} )$Some Properties of the Mean-Reverting Risk-Neutral Asset StExplicit Option Pricing Formula for European Call Option for MRAM under Risk-Neutral MeasureBlack-Scholes Formula Follows: L* = 0 and a* = −rNumerical Example: AECO Natural GAS Index (1 May 1998–30 April 1999)SummaryBibliography

Keywords: Stochastic Volatilities; Variance; Volatility; Covariance; Correlation Swaps; Change of Time; Option Pricing; Stochastic Volatilities with Delay; Multi-Factor Stochastic Volatilities Models; Regime-Switching Stochastic Volatilities; Levy-Based Stochastic Volatilities with Delay; COGARCH Stochastic Volatility; Stochastic Volatility Driven by Fractional Brownian Motion; Delayed Heston Model; Semi-Markov Stochastic Volatilities; Energy Markets; Forward and Futures in Energy Markets (search for similar items in EconPapers)
Date: 2013
References: Add references at CitEc
Citations:

Downloads: (external link)
https://www.worldscientific.com/doi/pdf/10.1142/9789814440134_0018 (application/pdf)
https://www.worldscientific.com/doi/abs/10.1142/9789814440134_0018 (text/html)
Ebook Access is available upon purchase.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:wsi:wschap:9789814440134_0018

Ordering information: This item can be ordered from

Access Statistics for this chapter

More chapters in World Scientific Book Chapters from World Scientific Publishing Co. Pte. Ltd.
Bibliographic data for series maintained by Tai Tone Lim ().