基于随机波动率的LNG远期定价模型

LNG Forward Pricing Model Based on Stochastic Volatility

本文考虑液化天然气(LNG)远期价格的随机波动率因素,采用等价鞅测度和伊藤公式得到波动率过程,利用矩估计法对模型中的参数进行估计,建立了随机波动率的远期定价模型。实证分析表明,加入随机波动率因素的定价机制优势更明显。

This paper considers the stochastic volatility factor of the LNG forward price, uses the equivalent martingale measure and the Ito formula to obtain the volatility process, and uses the moment es-timation method to estimate the parameters in the model. Empirical analysis shows that the ad-vantages of the pricing mechanism with stochastic volatility factors are more obvious.