论文标题
具有成熟效果的灵活商品偏斜模型
A Flexible Commodity Skew Model with Maturity Effects
论文作者
论文摘要
我们向安徒生商品曲线模型提出了具有杠杆功能的非参数扩展。我们将该模型校准为WTI和NG的市场数据，包括标准成熟度的选项偏差。虽然可以通过确定速率情况的分析公式对该模型进行校准，但随机率案例需要估计我们采用蒙特卡洛模拟的期望。我们发现，确定性率案例捕获了市场的微笑；对于随机速率情况，路径数量相对较少。由于通常最多有一个标准的成熟度，每份期货合约都有液体波动性数据，因此非标准成熟度暗示波动的形状具有灵活性，以及含义的总差异如何累积。我们为该模型配备了不同的总隐含方差蓄能器，以证明灵活性。
We propose a non-parametric extension with leverage functions to the Andersen commodity curve model. We calibrate this model to market data for WTI and NG including option skew at the standard maturities. While the model can be calibrated by an analytical formula for the deterministic rate case, the stochastic rate case demands estimation of an expectation for which we employ Monte Carlo simulation. We find that the market smile is captured for the deterministic rate case; and with relatively low number of paths, for the stochastic rate case. Since there is typically at most one standard maturity with liquid volatility data for each futures contract, there is flexibility on the shape of nonstandard maturity implied volatility and how the total implied variance accumulates. We equip the model with different total implied variance accumulators to demonstrate that flexibility.
