论文标题
将Lévy流程与自我分配性相关联：对能源市场的应用
Correlating Lévy processes with Self-Decomposability: Applications to Energy Markets
论文作者
论文摘要
基于自我分配性的概念，我们扩展了一些使用多元从属构建的最新多元Lévy模型，目的是捕获情况，在某些随机时间延迟后，在一个市场中突然发生了一个市场中的突然事件。因此，我们研究了此类过程的属性，得出了特征功能的封闭形式表达式，并详细介绍了如何轻松实施蒙特卡洛方案。我们说明了使用仿真技术在不同基础资产上写入的校准和定价的气体和电力市场的适用性。
Based on the concept of self-decomposability, we extend some recent multivariate Lévy models built using multivariate subordination with the aim of capturing situations in which a sudden event in one market is propagated onto related markets after a certain stochastic time delay. Consequently, we study the properties of such processes, derive closed form expressions for the characteristic function and detail how a Monte Carlo scheme can be easily implemented. We illustrate the applicability of our approach in the context of gas and power Energy markets focusing on the calibration and on the pricing of spread options written on different underlying assets using simulations techniques.
