Capturing the power options smile by an additive two-factor model for overlapping futures prices
Marco Piccirilli, Maren Diane Schmeck, Tiziano Vargiolu
| Year of publication: |
2021
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|---|---|
| Authors: | Piccirilli, Marco ; Schmeck, Maren Diane ; Vargiolu, Tiziano |
| Published in: |
Energy economics. - Amsterdam : Elsevier, ISSN 0140-9883, ZDB-ID 795279-X. - Vol. 95.2021, p. 1-17
|
| Subject: | Additive models | Arbitrage | FFT | Overlapping delivery periods | Power options | Volatility smile | Volatilität | Volatility | Optionspreistheorie | Option pricing theory |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.eneco.2020.105006 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012816581