基于Heston模型的能源商品定价机制研究

Research on Energy Commodity Pricing Mechanism Based on Heston Model

借助Heston随机波动模型,利用一篮子期权对带有均值回复特性的能源商品价格风险进行对冲,通过矩匹配法和蒙特卡洛仿真法进行期权定价。同时运用真实能源市场中的石油、天然气、煤炭数据,进行实证分析。结果表明矩匹配法和蒙特卡洛仿真法得到的结果大致相同,但在计算时间方面,矩匹配法相比蒙特卡洛仿真法花费时间更少,有效性更高。

A basket option is used to hedge the price risk of energy commodity with mean recovery based on Heston stochastic volatility model.The option pricing is carried out by moment matching method and Monte Carlo simulation method.At the same time,it use the data of oil,natural gas and coal in the real energy market to make an empirical analysis.The results show that the data obtained by the moment matching method and the Monte Carlo simulation method are approximately the same,but in terms of the computation time,the moment matching method is less expensive and more efficient than the Monte Carlo simulation method.