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Fast calibration of two-factor models for energy option pricing - MaRDI portal

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Fast calibration of two-factor models for energy option pricing (Q6579570)

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scientific article; zbMATH DE number 7887619
Language Label Description Also known as
English
Fast calibration of two-factor models for energy option pricing
scientific article; zbMATH DE number 7887619

    Statements

    title
    Fast calibration of two-factor models for energy option pricing (English)
    0 references
    author
    Emanuele Fabbiani
    0 references
    Andrea Marziali
    0 references
    Giuseppe De Nicolao
    0 references
    publication date
    25 July 2024
    0 references
    zbMATH Keywords
    energy derivatives
    0 references
    Lyapunov equation
    0 references
    market calibration
    0 references
    pricing
    0 references
    volatility
    0 references

    Identifiers

    zbMATH DE Number
    7887619
    0 references
    DOI
    10.1002/ASMB.2604
    0 references
     
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