have on the price of a call option on a swap. Our model allows for seasonal effects, spikes, and negative values of the … price of electricity. We show that for sufficiently large delivery periods of the swap contract, the error that one makes by … determine an explicit closed-form formula for the price of the call on a swap. The theoretical analysis is then illustrated via …

Crude Oil futures and options contracts, such as the Samuelson volatility effect and the volatility smile. We calculate the … futures, and we observe a phenomenon we call the Samuelson correlation effect …

hours. This premium is based either on increased hedging demand or on speculation …

We propose robust numerical algorithms for pricing discrete variance options and volatility swaps under general time … volatility derivatives with low frequency of monitoring and/or short maturity. The pricing properties of various variance and … volatility derivatives under various time-changed Lèvy processes and the Heston model are also investigated …

and wind power production with two Ornstein–Uhlenbeck processes. In order to reproduce the correlation between the spot … wind energy markets that allows the buyer to hedge against low prices and low wind power production in the plant …