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On the use of the moment-matching technique for pricing and hedging multi-asset spread options

Pellegrino, Tommaso; Sabino, Piergiacomo - In: Energy economics 45 (2014), pp. 172-185

Persistent link: https://www.econbiz.de/10010504771

On hedging spark spread options in electricity markets

Li, Lide; Kleindorfer, Paul R. - In: Risk and decision analysis 1 (2009) 4, pp. 211-220

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New proxy schemes for swing contracts

Koster, Frank; Oeltz, Daniel; Steffens, Angelina - In: The journal of energy markets 16 (2023) 4, pp. 15-30

Persistent link: https://www.econbiz.de/10014556497

About long-term cross-currency Bermuda swaption pricing

Erkan, Bünyamin; Prigent, Jean-Luc - In: Computational economics 56 (2020) 1, pp. 239-262

Persistent link: https://www.econbiz.de/10012272028

Forward variance dynamics : Bergomi's model revisited

Aly, Sidi Mohamed Ould - In: Applied mathematical finance 21 (2014) 1/2, pp. 84-107

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Pricing options on forwards in energy markets : the role of mean reversion's speed

Schmeck, Maren Diane - In: International journal of theoretical and applied finance 19 (2016) 8, pp. 1-26

Persistent link: https://www.econbiz.de/10011686772

The effect of mean-reverting processes in the pricing of options in the energy market : an arithmetic approach

Schmeck, Maren Diane; Schwerin, Stefan - In: Risks : open access journal 9 (2021) 5, pp. 1-19

have on the price of a call option on a swap. Our model allows for seasonal effects, spikes, and negative values of the … price of electricity. We show that for sufficiently large delivery periods of the swap contract, the error that one makes by … determine an explicit closed-form formula for the price of the call on a swap. The theoretical analysis is then illustrated via …

Persistent link: https://www.econbiz.de/10012597100

Volatility derivatives and model-free implied leverage

Fukasawa, Masaaki - In: International journal of theoretical and applied finance 17 (2014) 1, pp. 1-23

Persistent link: https://www.econbiz.de/10010363969

Barndorff-Nielsen and Shephard model : oil hedging with variance swap and option

SenGupta, Indranil; Wilson, William W.; Nganje, William - In: Mathematics and financial economics 13 (2019) 2, pp. 209-226

Persistent link: https://www.econbiz.de/10012055793

Valuation of spark-spread option written on electricity and gas forward contracts under two-factor models with non-Gaussian Lévy processes

Mehrdoust, Farshid; Noorani, Idin - In: Computational economics 61 (2023) 2, pp. 807-853

Persistent link: https://www.econbiz.de/10014228463