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On calendar energy options
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39,757
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152
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126
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120
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117
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111
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108
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103
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102
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97
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96
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94
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94
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94
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93
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89
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88
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88
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87
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87
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85
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85
Platen, Eckhard
85
Joshi, Mark S.
82
Todorov, Viktor
82
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80
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78
Prokopczuk, Marcel
77
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76
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74
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531
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Economics letters
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Research in international business and finance
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Journal of international money and finance
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Journal of economic dynamics & control
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The review of financial studies
298
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290
International Journal of Energy Economics and Policy : IJEEP
278
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ECONIS (ZBW)
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36
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date (oldest first)
1
Pricing and
hedging
of energy spread options and
volatility
modulated Volterra processes
Benth, Fred Espen
;
Zdanowicz, Hanna
- In:
International journal of theoretical and applied finance
19
(
2016
)
1
,
pp. 1-22
Persistent link: https://www.econbiz.de/10011453780
Saved in:
2
Role of carbon
swap
trading and energy prices in price correlations and volatilities between carbon markets
Kanamura, Takashi
- In:
Energy economics
54
(
2016
),
pp. 204-212
Persistent link: https://www.econbiz.de/10011662814
Saved in:
3
Volatility
and
correlation
in the pricing of equity, FX, and interest-rate options
Rebonato, Riccardo
-
1999
Persistent link: https://www.econbiz.de/10001376705
Saved in:
4
Arbitrage-free valuation of bilateral counterparty risk for interest-rate products : impact of volatilities and correlations
Brigo, Damiano
;
Pallavicini, Andrea
;
Papatheodorou, …
- In:
International journal of theoretical and applied finance
14
(
2011
)
6
,
pp. 773-802
Persistent link: https://www.econbiz.de/10009381011
Saved in:
5
Exchange option pricing under variance gamma-like models
Gardini, Matteo
;
Sabino, Piergiacomo
- In:
Applied mathematical finance
29
(
2022
)
6
,
pp. 494-521
Persistent link: https://www.econbiz.de/10014390283
Saved in:
6
Pricing two-asset barrier options under stochastic
correlation
via perturbation
Escobar, Marcos
;
Götz, Barbara
;
Neykova, Daniela
; …
- In:
International journal of theoretical and applied finance
18
(
2015
)
3
,
pp. 1-44
Persistent link: https://www.econbiz.de/10011403748
Saved in:
7
Dispersion trading : an empirical analysis on the S&P 100 options
Ferrari, Pierpaolo
;
Poy, Gabriele
;
Abate, Guido
- In:
Investment management and financial innovations
16
(
2019
)
1
,
pp. 178-188
Persistent link: https://www.econbiz.de/10012056045
Saved in:
8
Exchange options and spread options with stochastically correlated underlyings
Wang, Xingchun
- In:
Applied economics letters
29
(
2022
)
12
,
pp. 1060-1068
Persistent link: https://www.econbiz.de/10013412038
Saved in:
9
From the Samuelson
volatility
effect to a Samuelson
correlation
effect : an analysis of crude oil calendar spread options
Schneider, Lorenz
;
Tavin, Bertrand
- In:
Journal of banking & finance
95
(
2018
),
pp. 185-202
Persistent link: https://www.econbiz.de/10011966746
Saved in:
10
The Q-measure dynamics of forward rates
Rebonato, Riccardo
- In:
Annual review of financial economics
15
(
2023
),
pp. 493-522
Persistent link: https://www.econbiz.de/10014426352
Saved in:
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