Pricing and hedging Asian-style options on energy
From MaRDI portal
Publication:889623
DOI10.1007/s00780-015-0270-2zbMath1335.91076OpenAlexW3123176568MaRDI QIDQ889623
Fred Espen Benth, Nils Detering
Publication date: 9 November 2015
Published in: Finance and Stochastics (Search for Journal in Brave)
Full work available at URL: http://hdl.handle.net/10852/48411
Processes with independent increments; Lévy processes (60G51) Microeconomic theory (price theory and economic markets) (91B24) Martingales with continuous parameter (60G44) Derivative securities (option pricing, hedging, etc.) (91G20)
Related Items
LOCAL RISK-MINIMIZATION WITH MULTIPLE ASSETS UNDER ILLIQUIDITY WITH APPLICATIONS IN ENERGY MARKETS ⋮ Local risk-minimization for Barndorff-Nielsen and Shephard models ⋮ A note on the implied volatility of floating strike Asian options
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Martingale densities for general asset prices
- Approximating random variables by stochastic integrals
- Processes of normal inverse Gaussian type
- Electricity prices and power derivatives: evidence from the Nordic Power Exchange
- Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics
- Term Structure Models Driven by General Levy Processes
- Variance optimal hedging for continuous time additive processes and applications
- THE STOCHASTIC VOLATILITY MODEL OF BARNDORFF-NIELSEN AND SHEPHARD IN COMMODITY MARKETS
- On Quadratic Cost Criteria for Option Hedging
- Pricing Asian options in a semimartingale model
- Financial Modelling with Jump Processes
- Option Pricing in Stochastic Volatility Models of the Ornstein‐Uhlenbeck type
- Variance-Optimal Hedging in Discrete Time
- On the minimal martingale measure and the möllmer-schweizer decomposition
- What is the Laplace Transform?
