The purposes of this Master thesis is to replicate and to analyse the numerical results presented in \cite{cufaro2018pricing}, in which a new method to price exchange options in the energy market is described. This has been achieved exploiting two Poisson processes with self-decomposable jumps. In our study we will take into account two different underlyings where their correlation gives, not only a global macro-economic factor but also another one that represents the delayed propagation between the two underlyings. In particular, the most important result of this approach is its reliability in catching the timing of the jumps and not only their frequencies.
Lo scopo di questa tesi è di replicare e analizzare i risultati numerici e teorici proposti in \cite{cufaro2018pricing}, dove viene descritto un nuovo metodo per prezzare opzioni exchange nel mercato energetico, utilizzando processi di Poisson con salti self-decomposable. Prenderemo in considerazione nel nostro studio due differenti sottostanti la cui correlazione fornisce non solo un fattore macro-economico globale, ma anche un fattore di propagazione ritardato degli shock tra i due asset. In particolare, il risultato più importante è mostrare come questo approccio riesca a mettere in evidenza con buona precisione l'istante di salto e non solo la frequenza di essi.
Processi di Poisson con salti correlati tramite self-decomposition : pricing di opzioni exchange
BRACCINI, ANDREA
2018/2019
Abstract
The purposes of this Master thesis is to replicate and to analyse the numerical results presented in \cite{cufaro2018pricing}, in which a new method to price exchange options in the energy market is described. This has been achieved exploiting two Poisson processes with self-decomposable jumps. In our study we will take into account two different underlyings where their correlation gives, not only a global macro-economic factor but also another one that represents the delayed propagation between the two underlyings. In particular, the most important result of this approach is its reliability in catching the timing of the jumps and not only their frequencies.File | Dimensione | Formato | |
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https://hdl.handle.net/10589/146062