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The affine styled-facts price dynamics for the natural gas : evidence from daily returns and option prices
Hsu, Chih-Chen; Chen, An-sing; Lin, Shih-kuei - In: Review of quantitative finance and accounting 48 (2017) 3, pp. 819-848
Persistent link: https://www.econbiz.de/10011796892
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Minimal variance hedging of natural gas derivatives in exponential Lévy models : theory and empirical performance
Ewald, Christian-Olivier; Nawar, Roy; Siu, Tak Kuen - In: Energy economics 36 (2013), pp. 97-107
Persistent link: https://www.econbiz.de/10009724764
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Gas storage valuation under multifactor Lévy processes
Cummins, Mark; Kiely, Greg; Murphy, Bernard - In: Journal of banking & finance 95 (2018), pp. 167-184
Persistent link: https://www.econbiz.de/10011966740
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Pricing and risk of swing contracts in natural gas markets
Kohrs, Hendrik; Mühlichen, Hermann; Auer, Benjamin R.; … - In: Review of derivatives research 22 (2019) 1, pp. 77-167
Persistent link: https://www.econbiz.de/10012311666
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Seasonal Stochastic Volatility : implications for the pricing of commodity options
Arismendi Zambrano, Juan Carlos; Back, Janis; … - In: Journal of banking & finance 66 (2016), pp. 53-65
Persistent link: https://www.econbiz.de/10011634553
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Bayesian SVLEDEJ model for detecting jumps in logarithmic growth rates of one month forward gas contract prices
Kostrzewski, Maciej - In: Central European journal of economic modelling and … 8 (2016) 3, pp. 161-179
Persistent link: https://www.econbiz.de/10011634897
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Uncertain energy model for electricity and gas futures with application in spark-spread option price
Mehrdoust, Farshid; Noorani, Idin; Xu, Wei - In: Fuzzy optimization and decision making : a journal of … 22 (2023) 1, pp. 123-148
Persistent link: https://www.econbiz.de/10014227971
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Asset pricing in incomplete markets : valuing gas storage capacity
Zhao, Lin; Wijnbergen, Sweder van - 2015
common belief, the auction prices for gas storage are mostly affected by the volatility of current market prices rather than … with the volatility of the spot market. This is an intuitive result because storage capacity can serve as an effective …
Persistent link: https://www.econbiz.de/10011333083
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On the qualitative effect of volatility and duration on prices of Asian options
Carr, Peter; Ewald, Christian-Oliver; Xiao, Yajun - In: Finance research letters 5 (2008) 3, pp. 162-171
Persistent link: https://www.econbiz.de/10003769897
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Essays on information, hedging, volatility in financial market
Xiao, Yajun - 2009
Persistent link: https://www.econbiz.de/10003916641