BENTH, FRED ESPEN; KUFAKUNESU, RODWELL - In: International Journal of Theoretical and Applied … 12 (2009) 04, pp. 491-506
Based on a non-Gaussian Ornstein–Uhlenbeck model for energy spot, we derive prices for Asian and spread options using Fourier techniques. The option prices are expressed in terms of the Fourier transform of the payoff function and the characteristic functions of the driving noises, being...