Pricing exchange options with correlated jump diffusion processes

DOI10.1080/14697688.2017.1423371zbMath1471.91583OpenAlexW2792105918MaRDI QIDQ4957241

Nicola Cufaro Petroni, Piergiacomo Sabino

Publication date: 3 September 2021

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697688.2017.1423371

zbMATH Keywords

energy derivativesself-decomposabilityjump diffusion processesspread optionstwo-dimensional Poisson processes

Mathematics Subject Classification ID

Diffusion processes (60J60) Derivative securities (option pricing, hedging, etc.) (91G20) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Jump processes on discrete state spaces (60J74)

Related Items (4)

A Bivariate Normal Inverse Gaussian Process with Stochastic Delay: Efficient Simulations and Applications to Energy Markets ⋮ Gamma-related Ornstein–Uhlenbeck processes and their simulation* ⋮ Pricing renewable identification numbers under uncertainty ⋮ Fast Pricing of Energy Derivatives with Mean-Reverting Jump-diffusion Processes

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Electricity prices and power derivatives: evidence from the Nordic Power Exchange
• Selfdecomposability and selfsimilarity: a concise primer
• Coupling Poisson processes by self-decomposability
• Exchange Options Under Jump-Diffusion Dynamics
• Pricing in Electricity Markets: A Mean Reverting Jump Diffusion Model with Seasonality
• Modelling spikes and pricing swing options in electricity markets
• Multi-asset spread option pricing and hedging
• Correction: Exchange Option under Jump-diffusion Dynamics
• General closed-form basket option pricing bounds
• Option pricing when underlying stock returns are discontinuous

This page was built for publication: Pricing exchange options with correlated jump diffusion processes