AI 中文总结
研究针对汽油期权市场流动性不足难以构建隐含波动率曲面的问题，通过相关巴舍利耶局部波动率模型联合建模布伦特和汽油期货价格，计算隐含波动率校正，经模拟验证该框架适合成品油建模与衍生品定价。
AI 中文摘要
汽油期权市场流动性不足，难以直接构建其隐含波动率曲面。然而，它与流动性高的布伦特期权市场紧密相连。本文通过相关的巴舍利耶局部波动率模型对布伦特和汽油期货价格进行联合建模：布伦特因子由正态混合扩散模型描述，汽油-布伦特现货波动率价差通过识别历史裂解价差水平和汽油-布伦特波动率价差聚类的数据驱动程序估计。由此产生的二元模型使我们能够计算隐含波动率校正，将布伦特隐含波动率映射到汽油隐含波动率，而无需使用流动性不足的汽油期权价格作为输入。蒙特卡罗模拟表明，与更直接的方法相比，由此产生的隐含波动率与观察到的汽油隐含波动率密切匹配。这些结果表明，所提出的框架非常适合对成品油进行建模和对相应的金融衍生品定价。
英文摘要
The Gasoil options market is illiquid, making it difficult to construct its implied volatility surface directly. However, it is closely linked to the highly liquid Brent options market. In this paper, we jointly model Brent and Gasoil futures prices through a correlated Bachelier local volatility model: the Brent factor is described by a normal mixture diffusion model, while the Gasoil-Brent spot volatility spread is estimated using a data-driven procedure that identifies clusters of historical crack-spread levels and Gasoil-Brent volatility spreads. The resulting bivariate model allows us to compute an implied volatility correction that maps Brent implied volatilities to Gasoil implied volatilities without using illiquid Gasoil option prices as inputs. Monte Carlo simulations demonstrate that the resulting implied volatilities closely match observed Gasoil implied volatilities when benchmarked against more direct approaches. These results suggest that the proposed framework is well suited for modeling refined products and pricing the corresponding financial derivatives.
Comments26 pages, 11 figures
