论文标题
在不同市场假设下，具有扩展的VasicěK利率和指数Ornstein-Uhlenbeck资产流程的欧洲电力期权定价
European Power Option Pricing with Extended Vasicěk Interest Rate and Exponential Ornstein-Uhlenbeck Asset Process under Different Market Assumptions
论文作者
论文摘要
我们在两个不同的市场假设下提出了一个欧洲电力期权选择定价的一般框架，该假设涉及延长的Vasicěk利率过程和指数的Ornstein-Uhlenbeck资产过程，并连续股息为基础，其中涉及的Brownian Motions参与Vasicěk利率和指数量度衡量的Ornstein-uhlale contrent contrent Ornepernity等于等于等于等于的依赖性依赖于等于等于的差异。概率空间分别。在市场假设下，我们首先以两种类型的收益开发欧洲电力选项定价，即Vasicěk利率和指数式Ornstein-Uhlenbeck流程与同等的Martingale量度概率空间相关。然后，我们在市场假设下解决了欧洲电力选项的定价，即VasicěK利率和指数Ornstein-Uhlenbeck流程与现实世界中的概率相关联是通过构建Girsannov变换来构建girsannov transform以映射现实世界中的现实世界中的概率，以实现风险中性的等价群众群众衡量标准。最后，在上述两个市场假设下以统一的理论框架和紧密的公式表达式表达了欧洲电力选项定价公式，并以数字变化和T-Forward措施得出。
We propose a general framework of European power option pricing under two different market assumptions about extended Vasicěk interest rate process and exponential Ornstein-Uhlenbeck asset process with continuous dividend as underlying, in which the Brownian motions involved in Vasicěk interest rate and exponential Ornstein-Uhlenbeck process are time-dependent correlated in equivalent martingale measure probability space or real-world probability space respectively. We first develop European power option pricing in two types of payoffs with martingale method under the market assumption that Vasicěk interest rate and exponential Ornstein-Uhlenbeck process are correlated in equivalent martingale measure probability space. Then, we solve the European power option pricing under the market assumption that Vasicěk interest rate and exponential Ornstein-Uhlenbeck process are correlated in real-world probability by constructing a Girsannov transform to map real-world probability to risk-neutral equivalent martingale measure. Finally, the European power option pricing formulae are derived with numeraire change and T-forward measure under the above two market assumptions in a uniform theoretical framework and close formulae expression.
