Pricing and hedging Asian-style options on energy

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

zbMATH Keywords

Asian optionsmoment matchingtrading restrictionsenergy marketsquadratic hedging

Mathematics Subject Classification ID

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)

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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

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