Pricing Asian Oil Options using Polynomial Quantile Functions

被引：0
作者：
Schlueter, Stephan [1 ]
Hanfeld, Marc [1 ]
机构：
[1] Wingas GmbH, Kassel, Germany
来源：
2014 11TH INTERNATIONAL CONFERENCE ON THE EUROPEAN ENERGY MARKET (EEM) | 2014年
关键词：
Asian Options; Monte Carlo Simulation; Quantile Approximation;
D O I：
暂无
中图分类号：
TE [石油、天然气工业]; TK [能源与动力工程];
学科分类号：
0807 ; 0820 ;
摘要：
We construct a polynomial-based modification of the Gaussian quantile in order to derive a functional approximation of any symmetric quantile. Based on this formula we generate random numbers for pricing Asian options on three different oil products (Brent, Gas Oil and Fuel Oil) via Monte Carlo simulation. We find that standard Gaussian-based methods (commonly applied by market participants) underestimate the option value, and suggest to apply the method presented here.
引用
收藏
页数：5
相关论文
共 12 条
12