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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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Analytical comparisons of option prices in stochastic volatility models
Henderson, Vicky - 2002
Persistent link: https://www.econbiz.de/10009581661
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Modeling intraday stochastic volatility and conditional duration contemporaneously with regime shifts
Trojan, Sebastian - 2014
Persistent link: https://www.econbiz.de/10010437483
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CBI-time-changed Lévy processes
Fontana, Claudio; Gnoatto, Alessandro; Szulda, Guillaume - 2022
Persistent link: https://www.econbiz.de/10013347447
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Pricing and hedging GDP-linked bonds in incomplete markets
Consiglio, Andrea; Zenios, Stauros Andrea - 2018
Persistent link: https://www.econbiz.de/10011884964
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Modeling and valuation of energy structures : analylsis., econometrics, and numerics
Mahoney, Daniel - 2016
Persistent link: https://www.econbiz.de/10011399615
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Modeling and Valuation of Energy Structures : Analytics, Econometrics, and Numerics
Mahoney, Daniel - 2016
Commodity markets present several challenges for quantitative modeling. These include high volatilities, small sample data sets, and physical, operational complexity. In addition, the set of traded products in commodity markets is more limited than in financial or equity markets, making value...
Persistent link: https://www.econbiz.de/10014306581
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Option pricing under incompleteness and stochastic volatility
Hofmann, Norbert - 1992
Persistent link: https://www.econbiz.de/10000834044
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Financial markets with volatility uncertainty
Vorbrink, Jörg - 2010
financial market that features volatility uncertainty. To have a mathematical consistent framework we use the notion of G … this more complex situation and consider stock price dynamics which exclude arbitrage opportunities. Due to volatility … claims and deduce explicit results in a Markovian setting. -- Pricing of contingent claims ; incomplete markets ; volatility …
Persistent link: https://www.econbiz.de/10008746123
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A comparison of q-optimal option prices in a stochastic volatility model with correlation
Henderson, Vicky; Hobson, David G.; Howison, Sam; … - 2003
Persistent link: https://www.econbiz.de/10009581657