ENERGY SPOT PRICE MODELS AND SPREAD OPTIONS PRICING

DOI10.1142/S0219024907004573zbMath1153.91422MaRDI QIDQ3498238

Samuel Hikspoors, Sebastian Jaimungal

Publication date: 28 May 2008

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Microeconomic theory (price theory and economic markets) (91B24) Applications of stochastic analysis (to PDEs, etc.) (60H30)

Related Items (4)

A four-factor stochastic volatility model of commodity prices ⋮ Algorithm of calculation of combined commodity options value ⋮ Model Uncertainty in Commodity Markets ⋮ Asymptotic Pricing of Commodity Derivatives using Stochastic Volatility Spot Models

Cites Work

• Unnamed Item
• Martingales and stochastic integrals in the theory of continuous trading
• CALIBRATION OF MULTIFACTOR MODELS IN ELECTRICITY MARKETS
• Transform Analysis and Asset Pricing for Affine Jump-diffusions
• Financial Modelling with Jump Processes

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