论文标题
与伽马相关的o过程的确切模拟：应用于能量导数的定价
Exact Simulation of Variance Gamma related OU processes: Application to the Pricing of Energy Derivatives
论文作者
论文摘要
在这项研究中，我们定义了一个三步程序，以将广义的Ornstein-Uhlenbeck过程的固定定律的自我分配性与此类过程的增量定律联系起来。基于此过程和Qu等人的结果。 （2019年），我们得出了方差伽玛的骨骼和对称方差伽马驱动的Ornstein-Uhlenbeck过程的精确模拟，而没有数值倒置。据报道，广泛的数值实验证明了我们算法的准确性和效率。这些结果有助于模拟能源市场的现货价格动态，并在类似于Cummins等人中讨论的框架中，蒙特卡洛模拟的价格和燃气储藏。 （2017，2018）。
In this study we define a three-step procedure to relate the self-decomposability of the stationary law of a generalized Ornstein-Uhlenbeck process to the law of the increments of such processes. Based on this procedure and the results of Qu et al. (2019), we derive the exact simulation, without numerical inversion, of the skeleton of a Variance Gamma, and of a symmetric Variance Gamma driven Ornstein-Uhlenbeck process. Extensive numerical experiments are reported to demonstrate the accuracy and efficiency of our algorithms. These results are instrumental to simulate the spot price dynamics in energy markets and to price Asian options and gas storages by Monte Carlo simulations in a framework similar to the one discussed in Cummins et al. (2017, 2018).
