PRICING AND HEDGING OF ENERGY SPREAD OPTIONS AND VOLATILITY MODULATED VOLTERRA PROCESSES (Q2797872)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | PRICING AND HEDGING OF ENERGY SPREAD OPTIONS AND VOLATILITY MODULATED VOLTERRA PROCESSES |
scientific article |
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PRICING AND HEDGING OF ENERGY SPREAD OPTIONS AND VOLATILITY MODULATED VOLTERRA PROCESSES (English)
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1 April 2016
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spread option
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measure change
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Lévy semistationary process
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volatility modulated Volterra process
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quadratic hedging
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energy markets
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