PRICING AND HEDGING OF ENERGY SPREAD OPTIONS AND VOLATILITY MODULATED VOLTERRA PROCESSES

DOI10.1142/S0219024916500023zbMath1406.91434arXiv1409.5801OpenAlexW15761445MaRDI QIDQ2797872

Fred Espen Benth, Hanna Zdanowicz

Publication date: 1 April 2016

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1409.5801

zbMATH Keywords

energy marketsmeasure changequadratic hedgingspread optionvolatility modulated Volterra processLévy semistationary process

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Derivative securities (option pricing, hedging, etc.) (91G20)

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Cointegrated Commodity Markets and Pricing of Derivatives in a Non-Gaussian Framework

Cites Work

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