Model Uncertainty in Commodity Markets
Model Uncertainty in Commodity Markets
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DOI：
10.1137/15m1027243
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发表时间：
2016-01-01
影响因子：
1
通讯作者：
Qin, Zhen
中科院分区：
文献类型：
--
作者：
Cartea, Alvaro;Jaimungal, Sebastian;Qin, Zhen
那些承认自己的模型被错误地指定的代理人被称为模糊厌恶者，这会影响他们愿意交易的价格。商品价格模型试图捕捉三个程式化的特征：季节性趋势，适度偏差（扩散因素），大偏差（跳跃因素），这两个都意味着恢复到季节性趋势。在这里，我们模型的模糊性，允许代理考虑一类模型绝对连续w.r.t.他们的参考模型，但惩罚候选模型，是远离它。我们表明，买方（卖方）的远期合约引入了一个负面的现货价格动态的（正）漂移，并增强向下（向上）跳跃，因此他们愿意交易的价格较低（较高）当模糊厌恶的买方和卖方采用相同的参考措施时，他们不能交易，因为卖方要求的比买方愿意的更多。支付.最后，我们观察到，当模糊厌恶代理人的价格写在商品远期期权，模糊厌恶的影响是最强的，当期权是在的钱和弱时，它是深在的钱或深出的钱。
Agents who acknowledge that their models are incorrectly specified are said to be ambiguity averse, and this affects the prices they are willing to trade at. Models for prices of commodities attempt to capture three stylized features: seasonal trend, moderate deviations (a diffusive factor), and large deviations (a jump factor) both of which mean-revert to the seasonal trend. Here we model ambiguity by allowing the agent to consider a class of models absolutely continuous w.r.t. their reference model, but penalize candidate models that are far from it. We show that the buyer (seller) of a forward contract introduces a negative (positive) drift in the dynamics of the spot price and enhances downward (upward) jumps so the prices they are willing to trade at are lower (higher) than that of the forward price under P. When ambiguity averse buyers and sellers employ the same reference measure they cannot trade because the seller requires more than what the buyer is willing to pay. Finally, we observe that when ambiguity averse agents price options written on the commodity forward, the effect of ambiguity aversion is strongest when the option is at-the-money and weaker when it is deep in-the-money or deep out-of-the-money.