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Linking futures and options pricing in the natural gas market

Rotondi, Francesco - In: Risks : open access journal 13 (2025) 6, pp. 1-28

A robust model for natural gas prices should simultaneously capture the observed prices of both futures and options. While incorporating a seasonal factor in the convenience yield of the spot price effectively replicates forward curves, it proves insufficient for accurately modelling the options...

Persistent link: https://www.econbiz.de/10015436556

Optimal design of multi-asset options

Balbás de la Corte, Alejandro; Balbás, Beatriz; … - In: Risks : open access journal 13 (2025) 1, pp. 1-20

The combination of stochastic derivative pricing models and downside risk measures often leads to the paradox (risk …

Persistent link: https://www.econbiz.de/10015333614

A ne on simulation pricing of π-options

Palmowski, Zbigniew; Serafin, Tomasz - In: Risks : open access journal 8 (2020) 3/90, pp. 1-19

In this work, we adapt a Monte Carlo algorithm introduced by Broadie and Glasserman in 1997 to price a π-option. This method is based on the simulated price tree that comes from discretization and replication of possible trajectories of the underlying asset's price. As a result, this algorithm...

Persistent link: https://www.econbiz.de/10012293283

American options on high dividend securities : a numerical investigation

Rotondi, Francesco - In: Risks : open access journal 7 (2019) 2/59, pp. 1-20

I document a sizeable bias that might arise when valuing out of the money American options via the Least Square Method proposed by Longstaff and Schwartz (2001). The key point of this algorithm is the regression-based estimate of the continuation value of an American option. If this regression...

Persistent link: https://www.econbiz.de/10012019000

Pricing of commodity derivatives on processes with memory

Benth, Fred Espen; Khedher, Asma; Vanmaele, Michèle - In: Risks : open access journal 8 (2020) 1/8, pp. 1-32

Spot option prices, forwards and options on forwards relevant for the commodity markets are computed when the underlying process S is modelled as an exponential of a process xi with memory as, e.g., a Volterra equation driven by a Levy process. Moreover, the interest rate and a risk premium rho...

Persistent link: https://www.econbiz.de/10012204043

Option pricing and portfolio optimization under a multi-asset jump-diffusion model with systemic risk

Makarov, Roman - In: Risks : open access journal 11 (2023) 12, pp. 1-24

We explore a multi-asset jump-diffusion pricing model, combining a systemic risk asset with several conditionally independent ordinary assets. Our approach allows for analyzing and modeling a portfolio that integrates high-activity security, such as an exchange trading fund (ETF) tracking a...

Persistent link: https://www.econbiz.de/10014446758

Deep learning option price movement

Wang, Weiguan; Xu, Jia - In: Risks : open access journal 12 (2024) 6, pp. 1-17

Understanding how price-volume information determines future price movement is important for market makers who frequently place orders on both buy and sell sides, and for traders to split meta-orders to reduce price impact. Given the complex non-linear nature of the problem, we consider the...

Persistent link: https://www.econbiz.de/10014636721

Hedging effectiveness of commodity futures contracts to minimize price risk : empirical evidence from the Italian field : crop sector

Penone, Carlotta; Giampietri, Elisa; Trestini, Samuele - In: Risks : open access journal 9 (2021) 12, pp. 1-14

prices. Among others, hedging in futures markets (i.e., financial markets) represents an available strategy for producers to … analyzing the hedging effectiveness for soybean, corn and milling wheat producers in Italy. Following the literature, three … unhedged portfolio for assessing the income risk reduction. Findings confirm the hedging effectiveness of futures contracts for …

Persistent link: https://www.econbiz.de/10012705087

Deep equal risk pricing of financial derivatives with non-translation invariant risk measures

Carbonneau, Alexandre; Godin, Frédéric - In: Risks : open access journal 11 (2023) 8, pp. 1-27

applied to the conventional deep hedging training algorithm so as to enable obtaining a price through a single training run … for the two neural networks associated with the respective long and short hedging strategies. The accuracy of the neural …

Persistent link: https://www.econbiz.de/10014391590

Optional defaultable markets

Abdelghani, Mohamed N.; Melʹnikov, Aleksandr V. - In: Risks : open access journal 5 (2017) 4, pp. 1-21

on modeling of defaultable markets, pricing and hedging of defaultable claims and results on the probability of default …

Persistent link: https://www.econbiz.de/10011783347