PRICING OPTIONS ON FORWARDS IN ENERGY MARKETS: THE ROLE OF MEAN REVERSION'S SPEED

DOI10.1142/S0219024916500539zbMath1396.91763arXiv1602.03402OpenAlexW3121451284MaRDI QIDQ2953312

Maren Diane Schmeck

Publication date: 4 January 2017

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

Full work available at URL: https://arxiv.org/abs/1602.03402

zbMATH Keywords

jumpshedgingstochastic volatilityupper and lower boundsdelivery periodelectricity spot pricesmulti-scale mean reversionoptions on forwardspricing error

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (1)

On the seasonality in the implied volatility of electricity options

Cites Work

• Unnamed Item
• Electricity prices and power derivatives: evidence from the Nordic Power Exchange
• CALIBRATION OF MULTIFACTOR MODELS IN ELECTRICITY MARKETS
• MULTI-FACTOR JUMP-DIFFUSION MODELS OF ELECTRICITY PRICES
• A Non‐Gaussian Ornstein–Uhlenbeck Process for Electricity Spot Price Modeling and Derivatives Pricing

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