Analytical Approximation for the Price Dynamics of Spark Spread Options

DOI10.2202/1558-3708.1355MaRDI QIDQ5452750zbMATH OpenOpenAlexFDO

Authors Fred Espen Benth, J. Saltyte

Publication date 4 April 2008

Published in Studies in Nonlinear Dynamics & Econometrics (Search for Journal in Brave)

Full work available at URL http://hdl.handle.net/10852/10571

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60)

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Cited in

(8)

• Calibration for multivariate Lévy-driven Ornstein-Uhlenbeck processes with applications to weak subordination
• Fourier transform approach for pricing crack spread options
• Model uncertainty in commodity markets
• On hedging spark spread options in electricity markets
• Analytic approximation formulae for European crack spread options
• Statistical estimation of multivariate Ornstein-Uhlenbeck processes and applications to co-integration
• Modeling spark spread option and power plant evaluation
• Uncertain energy model for electricity and gas futures with application in spark-spread option price

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