Energy quanto options are risk management tools that have a payoff similar to the product of the payoffs of two options, each written on an energy-related underlying. These options, as opposed to standardized contracts that only account for price risk, are designed to manage both volumetric and price risk in energy markets. Since the use of such options enables actors in the energy market also to hedge against production volume risk, they are becoming very popular. This paper considers the valuation of such an option on futures when the underlying futures prices are governed by Markov-modulated additive processes, which have independent but non-stationary increments within each regime. We derive a valuation formula by using the Fast Fourier Transform (FFT) technique under the assumption that the joint characteristic function of the log-futures prices is known analytically. We study this approximation under different regime-switching models. Several numerical case studies illustrate that our FFT-based valuation has a high precision and is much faster than Monte Carlo estimates.

中文翻译：

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在马尔可夫调制加法过程的框架内定价能量量子选项

能源量子期权是风险管理工具，其收益类似于两个期权收益的乘积，每个期权都写在与能源相关的基础上。与仅考虑价格风险的标准化合同不同，这些选项旨在管理能源市场中的体积风险和价格风险。由于使用此类选项使能源市场中的参与者也可以对冲产量风险，因此它们变得非常受欢迎。当标的期货价格受马尔可夫调制的加法过程控制时，本文考虑了这种期货期权的估值，该过程在每个制度中都有独立但非平稳的增量。我们假设对数期货价格的联合特征函数在分析上是已知的，通过使用快速傅里叶变换 (FFT) 技术推导出估值公式。我们在不同的状态切换模型下研究这种近似。几个数值案例研究表明，我们基于 FFT 的估值具有很高的精度，并且比蒙特卡罗估计要快得多。