On the control of the difference between two Brownian motions: an application to energy markets modeling

• Autorzy: Thomas Deschatre
• Języki publikacji: EN

Abstrakty

EN

We derive a model based on the structure of dependence between a Brownian motion and its reflection according to a barrier. The structure of dependence presents two states of correlation: one of comonotonicity with a positive correlation and one of countermonotonicity with a negative correlation. This model of dependence between two Brownian motions B1 and B2 allows for the value of [...] to be higher than 1/2 when x is close to 0, which is not the case when the dependence is modeled by a constant correlation. It can be used for risk management and option pricing in commodity energy markets. In particular, it allows to capture the asymmetry in the distribution of the difference between electricity prices and its combustible prices.

Słowa kluczowe

EN

Brownian motion; Copula; Asymmetry; Difference; Coupling; Barrier; Local correlation; Energy; Electricity; Commodities; Risk

• Wydawca: De Gruyter Open
• Czasopismo: Dependence Modeling
• Rocznik: 2016
• Tom: 4
• Numer: 1

Daty

zaakceptowano

2013-07-04

otrzymano

2016-01-20

online

2016-07-28

Twórcy

autor

Thomas Deschatre

• CEREMADE, Université Paris-Dauphine, Place du maréchal De Lattre de Tassigny 75775 Paris Cedex 16, France

Identyfikatory

DOI

10.1515/demo-2016-0008