{"id":{"repo_id":"calgary","oai_identifier":"oai:ucalgary.scholaris.ca:1880/116191"},"canonical_url":"https://search.dev.ndltd.org/etd/calgary/oai:ucalgary.scholaris.ca:1880/116191","repository":{"repo_id":"calgary","name":"University of Calgary","base_url":"https://ucalgary.scholaris.ca/server/oai/request"},"display":{"title":"Locational Spread Options with Stochastic Correlation","abstract":"Contrary to the common assumption, the correlation between financial derivatives may not be constant across time. This thesis analyses the role of stochastic correlation in modeling for locational spread options for natural gas. We first derive a model with Ornstein–Uhlenbeck process between two spread assets with constant correlation and then a combination of the Ornstein–Uhlenbeck and Jacobi process is used to model a stochastic correlation. The Margrabe formula is employed to evaluate options prices with constant correlation, the solution for which is used to compare with Monte Carlo simulations for stochasticity. Comparing the results, we find out why stochastic correlation is more important in real markets.","abstract_html":"Contrary to the common assumption, the correlation between financial derivatives may not be constant across time. This thesis analyses the role of stochastic correlation in modeling for locational spread options for natural gas. We first derive a model with Ornstein–Uhlenbeck process between two spread assets with constant correlation and then a combination of the Ornstein–Uhlenbeck and Jacobi process is used to model a stochastic correlation. The Margrabe formula is employed to evaluate options prices with constant correlation, the solution for which is used to compare with Monte Carlo simulations for stochasticity. Comparing the results, we find out why stochastic correlation is more important in real markets.","abstract_has_math":false,"creators":["Ali, Syeda Fareeha"],"institution":"Graduate Studies","degree_name":"Master of Science (MSc)","degree_level":null,"degree_discipline":"Mathematics & Statistics","degree_department":null,"school":null,"contributors":[],"advisors":["Ware, Antony"],"committee_chairs":[],"committee_members":["Swishchuk, Anatoliy","Zinchenko, Yuriy"],"year":2023,"date_issued":"2023-05-05","date_published":"2023-05-05","updated_at":"2026-07-24T01:30:36Z","subjects":["Mathematical Finance"],"languages":["en"],"rights":["University of Calgary graduate students retain copyright ownership and moral rights for their thesis. You may use this material in any way that is permitted by the Copyright Act or through licensing that has been assigned to the document. For uses that are not allowable under copyright legislation or licensing, you are required to seek permission."],"rights_urls":[],"identifier_entries":[{"key":"dc:identifier.doi","label":"DOI","values":["https://dx.doi.org/10.11575/PRISM/dspace/41036"],"render_values":[{"text":"https://dx.doi.org/10.11575/PRISM/dspace/41036","href":"https://dx.doi.org/10.11575/PRISM/dspace/41036","code":true}]}]},"links":{"outbound_url":"http://hdl.handle.net/1880/116191","outbound_label":"Handle","outbound_source":"dc:identifier.uri"},"metadata_groups":[{"id":"people","label":"People","entries":[{"key":"dc:contributor.advisor","label":"Advisor","values":["Ware, Antony"]},{"key":"dc:contributor.committeemember","label":"Committee Member","values":["Swishchuk, Anatoliy","Zinchenko, Yuriy"]},{"key":"dc:creator","label":"Author","values":["Ali, Syeda Fareeha"]}]},{"id":"academic_context","label":"Academic Context","entries":[{"key":"dc:date","label":"Dc Date","values":["2023-11"]},{"key":"dc:date.accessioned","label":"Dc Date Accessioned","values":["2023-05-09T16:02:18Z"]},{"key":"dc:date.available","label":"Dc Date Available","values":["2023-05-09T16:02:18Z"]},{"key":"dc:date.issued","label":"Date","values":["2023-05-05"]},{"key":"dc:publisher.institution","label":"Dc Publisher Institution","values":["University of Calgary"]},{"key":"dc:type","label":"Dc Type","values":["master thesis"]},{"key":"thesis:degree_discipline","label":"Discipline","values":["Mathematics & Statistics"]},{"key":"thesis:degree_name","label":"Degree Name","values":["Master of Science (MSc)"]},{"key":"thesis:institution_name","label":"Thesis Institution Name","values":["University of Calgary"]}]},{"id":"subjects_keywords","label":"Subjects and Keywords","entries":[{"key":"dc:subject","label":"Dc Subject","values":["Mathematical Finance"]}]},{"id":"language_rights","label":"Language and Rights","entries":[{"key":"dc:language.iso","label":"Language (ISO)","values":["en"]},{"key":"dc:rights","label":"Dc Rights","values":["University of Calgary graduate students retain copyright ownership and moral rights for their thesis. 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We first derive a model with Ornstein–Uhlenbeck process between two spread assets with constant correlation and then a combination of the Ornstein–Uhlenbeck and Jacobi process is used to model a stochastic correlation. The Margrabe formula is employed to evaluate options prices with constant correlation, the solution for which is used to compare with Monte Carlo simulations for stochasticity. Comparing the results, we find out why stochastic correlation is more important in real markets."]},{"key":"dc:title","label":"Title","values":["Locational Spread Options with Stochastic Correlation"]}]}],"canonical_facts":{"dc:contributor.advisor":["Ware, Antony"],"dc:contributor.committeemember":["Swishchuk, Anatoliy","Zinchenko, Yuriy"],"dc:creator":["Ali, Syeda Fareeha"],"dc:date":["2023-11"],"dc:date.accessioned":["2023-05-09T16:02:18Z"],"dc:date.available":["2023-05-09T16:02:18Z"],"dc:date.issued":["2023-05-05"],"dc:description.abstract":["Contrary to the common assumption, the correlation between financial derivatives may not be constant across time. This thesis analyses the role of stochastic correlation in modeling for locational spread options for natural gas. We first derive a model with Ornstein–Uhlenbeck process between two spread assets with constant correlation and then a combination of the Ornstein–Uhlenbeck and Jacobi process is used to model a stochastic correlation. The Margrabe formula is employed to evaluate options prices with constant correlation, the solution for which is used to compare with Monte Carlo simulations for stochasticity. Comparing the results, we find out why stochastic correlation is more important in real markets."],"dc:identifier.doi":["https://dx.doi.org/10.11575/PRISM/dspace/41036"],"dc:identifier.uri":["http://hdl.handle.net/1880/116191"],"dc:language.iso":["en"],"dc:publisher.institution":["University of Calgary"],"dc:rights":["University of Calgary graduate students retain copyright ownership and moral rights for their thesis. You may use this material in any way that is permitted by the Copyright Act or through licensing that has been assigned to the document. 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