Explicit option pricing formula for a mean-reverting asset in energy market

MaRDI QIDQ3607222zbMATH OpenFDO

Authors Anatoliy Swishchuk

Publication date 28 February 2009

zbMATH Keywords

AECO Natural Gas IndexBlack-Scholes formulaEuropean call optionmean-reverting assetoption pricing formularisk-neutral measure

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Derivative securities (option pricing, hedging, etc.) (91G20)

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• scientific article; zbMATH DE number 6164319

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(4)

• Simple approximations for option pricing under mean reversion and stochastic volatility
• Asymptotic approximations for pricing derivatives under mean-reverting processes
• Smile modeling in commodity markets
• An analytical option pricing formula for mean-reverting asset with time-dependent parameter

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