Pricing and hedging of energy spread options and volatility modulated Volterra processes (Q2797872)
From MaRDI portal
 | This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use this page instead for the normal view: Pricing and hedging of energy spread options and volatility modulated Volterra processes |
scientific article; zbMATH DE number 6561966
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Pricing and hedging of energy spread options and volatility modulated Volterra processes |
scientific article; zbMATH DE number 6561966 |
Statements
1 April 2016
0 references
spread option
0 references
measure change
0 references
Lévy semistationary process
0 references
volatility modulated Volterra process
0 references
quadratic hedging
0 references
energy markets
0 references
0 references
Pricing and hedging of energy spread options and volatility modulated Volterra processes (English)
0 references
