We investigate the pricing of swing options in a model where the logarithm of the spot price is the sum of a deterministic seasonal trend and an Ornstein-Uhlenbeck process driven by a jump diffusion. First we calibrate the model to Nord Pool electricity market data. Second, the existence of an...

In this article, we construct forward price curves and value a class of two asset exchange options for energy commodities. We model the spot prices using an affine two-factor mean-reverting process with and without jumps. Within this modeling framework, we obtain closed form results for the...

We calculate prices of first touch digitals under normal inverse Gaussian (NIG) processes, and compare them to prices in the Brownian model and double exponential jump-diffusion model. Numerical results are produced to show that for typical parameters values, the relative error of the Brownian...

Stochastic models of electricity prices have been used extensively during the last few years to describe prices fluctuations in deregulated power markets. Regime-switching models seem good candidates to capture the main features of electricity prices dynamics as the mean-reversion property as...

A general model for intraday stock price movements is studied. The asset price dynamics is described by a marked point process Y, whose local characteristics (in particular the jump-intensity) depend on some unobservable hidden state variable X. The dynamics of Y and X may be strongly dependent....

We derive analytical valuation formulas for compound options when the underlying asset follows a jump-diffusion process. We then apply these results to value extendible options, American call options on stocks that follow jump-diffusion processes and pay discrete dividends, and American options...