Pricing Power Derivatives: A Two-Factor Jump-Diffusion Approach
Pricing Power Derivatives: A Two-Factor Jump-Diffusion Approach
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定价能力衍生品：双因素跳跃扩散方法
DOI：
10.2139/ssrn.493943
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发表时间：
2003
期刊：
影响因子：
--
通讯作者：
Pablo Villaplana
中科院分区：
文献类型：
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作者：
Pablo Villaplana
我们提出了一个具有季节性的双因素跳跃扩散模型，用于电力期货合约的定价。我们提出的模型是Schwartz和Smith(Management Science，2000)长期/短期模型的扩展。这篇论文的主要贡献之一是在短期因素中加入了一个具有非常强度过程(发生跳跃的概率)的跳跃成分。我们用仿射扩散(AD)和仿射跳跃扩散(AJD)来模拟潜在(不可观测)状态变量的随机行为。我们利用Duffie，潘和Singleton(Economrica，2000)的结果得到了期货合约价格的封闭形式公式。我们为观察到的风险溢价的季节性提供了经验证据，这已经在PJM市场上得到了记录。本文还补充了Bessembinder和Lemmon均衡模型(Journal of Finance，2002)提供的结果，并提供了一种从远期数据中提取风险中性参数的简单方法。
We propose a two-factor jump-diffusion model with seasonality for the valuation of electricity future contracts. The model we propose is an extension of Schwartz and Smith (Management Science, 2000) long-term / short-term model. One of the main contributions of the paper is the inclusion of a jump component, with a non-constant intensity process (probability of occurrence of jumps), in the short-term factor. We model the stochastic behaviour of the underlying (unobservable) state variables by Affine Diffusions (AD) and Affine Jump Diffusions (AJD). We obtain closed form formulas for the price of futures contracts using the results by Duffie, Pan and Singleton (Econometrica, 2000). We provide empirical evidence on the observed seasonality in risk premium, that has been documented in the PJM market. This paper also complements the results provided by the equilibrium model of Bessembinder and Lemmon (Journal of Finance, 2002), and provides an easy methodology to extract risk-neutral parameters from forward data.