DocumentCode
187756
Title
Pricing Asian oil options using polynomial quantile functions
Author
Schlueter, Stephan ; Hanfeld, Marc
Author_Institution
Wingas GmbH, Kassel, Germany
fYear
2014
fDate
28-30 May 2014
Firstpage
1
Lastpage
5
Abstract
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.
Keywords
Gaussian distribution; Monte Carlo methods; international trade; petroleum industry; polynomial approximation; pricing; Gaussian quantile; Monte Carlo simulation; functional approximation; oil products; polynomial quantile functions; polynomial-based modification; pricing Asian oil options; Approximation methods; Gaussian distribution; Monte Carlo methods; Polynomials; Pricing; Standards; Time series analysis; Asian Options; Monte Carlo Simulation; Quantile Approximation;
fLanguage
English
Publisher
ieee
Conference_Titel
European Energy Market (EEM), 2014 11th International Conference on the
Conference_Location
Krakow
Type
conf
DOI
10.1109/EEM.2014.6861203
Filename
6861203
Link To Document