Fast calibration of two-factor models for energy option pricing

DOI10.1002/ASMB.2604MaRDI QIDQ6579570

Andrea Marziali, Giuseppe De Nicolao, Emanuele Fabbiani

Publication date: 25 July 2024

Published in: Applied Stochastic Models in Business and Industry (Search for Journal in Brave)

zbMATH Keywords

Lyapunov equationenergy derivativespricingvolatilitymarket calibration

Mathematics Subject Classification ID

Statistics (62-XX)

Cites Work

• Title not available (Why is that?)
• The pricing of options and corporate liabilities
• Electricity prices and power derivatives: evidence from the Nordic Power Exchange
• Full and fast calibration of the Heston stochastic volatility model
• Optimal sampled-data control systems
• CALIBRATION OF MULTIFACTOR MODELS IN ELECTRICITY MARKETS
• SMILE MODELING IN COMMODITY MARKETS
• A two-factor model for the electricity forward market
• A New Scaling and Squaring Algorithm for the Matrix Exponential
• Algorithm 778: L-BFGS-B
• Lie Groups, Lie Algebras, and Representations
• MCMC calibration of spot-prices models in electricity markets

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