Fast calibration of two-factor models for energy option pricing

DOI10.1002/ASMB.2604MaRDI QIDQ6579570zbMATH OpenFDO

Authors Emanuele Fabbiani, Andrea Marziali, Giuseppe De Nicolao

Publication date 25 July 2024

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

Full work available at URL https://doi.org/10.1002/ASMB.2604

zbMATH Keywords

energy derivativesLyapunov equationmarket calibrationpricingvolatility

Mathematics Subject Classification ID

Statistics (62-XX)

Cites work

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• The pricing of options and corporate liabilities

Cited in

(1)

• Estimation of the number of factors in a multi-factorial Heath-Jarrow-Morton model in power markets

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