Pricing and Hedging Spread Options
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- The sum and difference of two lognormal random variables
- Stochastic volatility effects on correlated log-normal random variables
- A new spectral element method for pricing European options under the Black-Scholes and Merton jump diffusion models
- Pricing of spread and exchange options in a rough jump-diffusion market
- Algorithm of calculation of combined commodity options value
- Oil futures volatility smiles in 2020: why the Bachelier smile is flatter
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- Fast and accurate pricing and hedging of long-dated CMS spread options
- Merchant commodity storage practice revisited
- Pricing and hedging of energy spread options and volatility modulated Volterra processes
- Stochastic volatility and dependency in energy markets: multi-factor modelling
- Pricing American options written on two underlying assets
- Closed form approximations for spread options
- A generalized variance gamma process for financial applications
- A multivariate pure-jump model with multi-factorial dependence structure
- Asymptotics beats Monte Carlo: the case of correlated local vol baskets
- Pricing of Asian-type and basket options via bounds
- Transmission valuation analysis based on real options with price spikes
- A vector autoregression framework for the modeling of commodity spreads
- Additive subordination and its applications in finance
- A note on the pricing of multivariate contingent claims under a transformed-gamma distribution
- Derivatives pricing in energy markets: an infinite-dimensional approach
- On the control of the difference between two Brownian motions: a dynamic copula approach
- On the control of the difference between two Brownian motions: an application to energy markets modeling
- ENERGY SPOT PRICE MODELS AND SPREAD OPTIONS PRICING
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- Electricity price modeling and asset valuation: a multi-fuel structural approach
- Pricing Asset Scheduling Flexibility using Optimal Switching
- Pricing of spread options on stochastically correlated underlyings
- Numerical approximation of the implied volatility under arithmetic Brownian motion
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- A mixed C-vine copula model for hedging price and volumetric risk in wind power trading
- An exact formula for pricing American exchange options with regime switching
- Bivariate normal mixture spread option valuation
- Spread and basket option pricing in a Markov-modulated Lévy framework with synchronous jumps
- Pricing of spread options on a bivariate jump market and stability to model risk
- Basket option pricing and implied correlation in a one-factor Lévy model
- Unbiased and efficient Greeks of financial options
- On hedging spark spread options in electricity markets
- Cointegrated commodity markets and pricing of derivatives in a non-Gaussian framework
- Pricing forward-futures spread based on copulas with stochastic simulation
- Revisiting linear and lognormal stochastic volatility models
- On the short-maturity behaviour of the implied volatility skew for random strike options and applications to option pricing approximation
- General closed-form basket option pricing bounds
- Analytic approximation formulae for European crack spread options
- Financial modelling with multivariate mixed fractional Brownian motion
- Pricing renewable identification numbers under uncertainty
- Representation of exchange option prices under stochastic volatility jump-diffusion dynamics
- Computing lower bounds on basket option prices by discretizing semi-infinite linear programming
- PRICING OF EXOTIC ENERGY DERIVATIVES BASED ON ARITHMETIC SPOT MODELS
- Multivariate Lévy processes with dependent jump intensity
- Closed form spread option valuation
- The pricing of basket-spread options
- Modeling of certain problems in financial mathematics: Spread option pricing
- ON MULTI-ASSET SPREAD OPTION PRICING IN A WICK–ITÔ–SKOROHOD INTEGRAL FRAMEWORK
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- Modeling spark spread option and power plant evaluation
- Algorithms for finding copulas minimizing convex functions of sums
- A new method for generating approximation algorithms for financial mathematics applications
- The valuation of clean spread options: linking electricity, emissions and fuels
- Lower bound approximation of nonlinear basket option with jump-diffusion
- Value-at-Risk, Tail Value-at-Risk and upper tail transform of the sum of two counter-monotonic random variables
- Tail behavior of sums and differences of log-normal random variables
- An analytic valuation method for multivariate contingent claims with regime-switching volatilities
- On the sensitivity analysis of spread options using Malliavin calculus
- Closed-form approximations for spread options in Lévy markets
- Multivariate Hawkes-based models in limit order book: European and spread option pricing
- Pricing basket options by polynomial approximations
- Valuation of American maximum exchange rate quanto lookback options
- Itô-Taylor expansion method of European spread option pricing for multivariate diffusions with jumps
- A closed-form approximation for pricing spread options on futures under a mean-reverting spot price model with multiscale stochastic volatility
- A note on closed-form spread option valuation under log-normal models
- Measuring exposure to dependence risk with random Bernstein copula scenarios
- Model risk and discretisation of locally risk-minimising strategies
- A general approximate computational framework for basket spread options pricing with and without default risk
- Heath–Jarrow–Morton meet lifted Heston in energy markets for joint historical and implied calibration
- Pricing basket options with the first three moments of the basket: log-normal models and beyond
- Multi-layer model of correlated energy prices
- Pricing and hedging Asian basket spread options
- Valuing virtual production capacities on flow commodities
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