Pricing options on forwards in energy markets: the role of mean reversion's speed (Q2953312)
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scientific article; zbMATH DE number 6670226
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| English | Pricing options on forwards in energy markets: the role of mean reversion's speed |
scientific article; zbMATH DE number 6670226 |
Statements
PRICING OPTIONS ON FORWARDS IN ENERGY MARKETS: THE ROLE OF MEAN REVERSION'S SPEED (English)
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4 January 2017
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electricity spot prices
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multi-scale mean reversion
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jumps
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stochastic volatility
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delivery period
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options on forwards
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hedging
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pricing error
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upper and lower bounds
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0.7906237244606018
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0.7780867218971252
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0.7733093500137329
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0.7538063526153564
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0.7458945512771606
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