Analytical Approximation for the Price Dynamics of Spark Spread Options
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Publication:5452750
DOI10.2202/1558-3708.1355zbMATH Open1260.91256OpenAlexW2030158360MaRDI QIDQ5452750FDOQ5452750
Authors: Fred Espen Benth, J. Saltyte 
Publication date: 4 April 2008
Published in: Studies in Nonlinear Dynamics & Econometrics (Search for Journal in Brave)
Full work available at URL: http://hdl.handle.net/10852/10571
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Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60)
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- Statistical estimation of multivariate Ornstein-Uhlenbeck processes and applications to co-integration
- Calibration for multivariate Lévy-driven Ornstein-Uhlenbeck processes with applications to weak subordination
- Analytic approximation formulae for European crack spread options
- Fourier transform approach for pricing crack spread options
- Model uncertainty in commodity markets
- Uncertain energy model for electricity and gas futures with application in spark-spread option price
- On hedging spark spread options in electricity markets
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