Pricing and hedging of energy spread options and volatility modulated Volterra processes
Fred Espen Benth (Department of Mathematics, University of Oslo, Oslo, Norway, Centre of Advanced Study, Oslo, Norway), Hanna Zdanowicz (Department of Mathematics, University of Oslo, Oslo, Norway)
| Year of publication: |
February 2016
|
|---|---|
| Authors: | Benth, Fred Espen ; Zdanowicz, Hanna |
| Published in: |
International journal of theoretical and applied finance. - River Edge, NJ [u.a.] : World Scientific, ISSN 0219-0249, ZDB-ID 1428982-9. - Vol. 19.2016, 1, p. 1-22
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| Subject: | Spread option | measure change | Lévy semistationary process | volatility modulated volterra process | quadratic hedging | energy markets | Hedging | Volatilität | Volatility | Optionspreistheorie | Option pricing theory | Energiemarkt | Energy market | Optionsgeschäft | Option trading | Energiepreis | Energy price | Stochastischer Prozess | Stochastic process |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1142/S0219024916500023 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011453780