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| Type | Master's Thesis |
| Scope | Discipline-based scholarship |
| Title | Pricing of Energy Commodity Derivatives |
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| Institution | University of Zurich |
| Faculty | Faculty of Economics, Business Administration and Information Technology |
| Number of Pages | 46 |
| Date | 2012 |
| Abstract Text | The pricing of energy commodity derivatives will be the topic of this thesis. We present existing models and results. Furthermore, we analyse the futures price behaviour with respect to maturity and time-to-maturity and find seasonal volatility patterns. We tackle these empirical findings with a modified Heston model with seasonal mean volatility function which depends on the maturity and the time-to-maturity. We discuss the implementation with finite elements to price American futures options and use the Greeks for a least-squares fitting to market data. The calibration results show a very good fit to market data, with relative root mean squared errors in the area between 0.5% to 2.5% for natural gas and heating oil calls and puts as well as for gasoline call options. |
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