In this work we perform a pricing exercise of different types of spread options; we particularly focus on European calendar and crack spread options. We present the expressions followed by the joint characteristic functions of the underlying log-prices for a panel of bivariate processes. The...

We consider a seasonal mean-reverting model for energy commodity prices with jumps and Heston-type stochastic volatility, as well as three nested models for comparison. By exploiting the affine form of the log-spot models, we develop a general valuation framework for futures and discrete...