论文标题
定价商品摆动选项
Pricing commodity swing options
论文作者
论文摘要
在商品和能源市场中，摆动选项使买方可以对冲期货价格波动，并在每日或定期限制内选择其首选的交付策略，这可能是通过观察引用的期货合约来确定的。在本文中，我们专注于天然气市场，并为商品期货价格提供了动态模型，能够校准液体市场报价，并暗示具有不同交货期的期货合约的波动性微笑。我们通过最小二乘蒙特卡洛模拟来实现数值问题，并根据强化学习算法研究了替代方法。
In commodity and energy markets swing options allow the buyer to hedge against futures price fluctuations and to select its preferred delivery strategy within daily or periodic constraints, possibly fixed by observing quoted futures contracts. In this paper we focus on the natural gas market and we present a dynamical model for commodity futures prices able to calibrate liquid market quotes and to imply the volatility smile for futures contracts with different delivery periods. We implement the numerical problem by means of a least-square Monte Carlo simulation and we investigate alternative approaches based on reinforcement learning algorithms.
