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Variance swap with mean reversion, multifactor stochastic volatility and jumps

Pun, Chi Seng; Chung, Shing Fung; Wong, Hoi Ying - In: European journal of operational research : EJOR 245 (2015) 2, pp. 571-580

Persistent link: https://www.econbiz.de/10011308968

The effect of mean-reverting processes in the pricing of options in the energy market : an arithmetic approach

Schmeck, Maren Diane; Schwerin, Stefan - In: Risks : open access journal 9 (2021) 5, pp. 1-19

have on the price of a call option on a swap. Our model allows for seasonal effects, spikes, and negative values of the … price of electricity. We show that for sufficiently large delivery periods of the swap contract, the error that one makes by … determine an explicit closed-form formula for the price of the call on a swap. The theoretical analysis is then illustrated via …

Persistent link: https://www.econbiz.de/10012597100

Variance swaps with mean reversion and multi-factor variance

Wu, Bin; Chen, Pengzhan; Ye, Wuyi - In: European journal of operational research : EJOR 315 (2024) 1, pp. 191-212

Persistent link: https://www.econbiz.de/10014562821

Time-changed Ornstein-Uhlenbeck processes and their applications in commodity derivative models

Li, Lingfei; Linetsky, Vadim - In: Mathematical finance : an international journal of … 24 (2014) 2, pp. 289-330

Persistent link: https://www.econbiz.de/10010357373

Modeling electricity spot prices : combining mean reversion, spikes, and stochastic volatility

Mayer, Klaus; Schmid, Thomas; Weber, Florian - In: The European journal of finance 21 (2015) 4/6, pp. 292-315

Persistent link: https://www.econbiz.de/10010528197

Pricing volatility options under stochastic skew with application to the VIX index

Marabel Romo, Jacinto - In: The European journal of finance 23 (2017) 4/6, pp. 353-374

Persistent link: https://www.econbiz.de/10011736265

A new S.D.E. and instantaneous mean reversion rate formula (presented via a numerical empirical model comparison)

Rabinovitz, Yedidya - In: International journal of financial engineering 4 (2017) 2/3, pp. 1-22

Persistent link: https://www.econbiz.de/10011778269

Simple approximations for option pricing under mean reversion and stochastic volatility

Hafner, Christian M. (contributor) - 2003 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001784022

Stochastic volatility and the mean reverting process

Sabanis, Sotirios - In: The journal of futures markets 23 (2003) 1, pp. 33-47

Persistent link: https://www.econbiz.de/10001745957

Freight Derivatives Pricing for Decoupled Mean-Reverting Diffusion and Jumps

Kyriakou, Ioannis - 2019

We develop an accurate valuation setup for freight options, featuring an exponential mean-reverting model for the freight rate with distinct reversion scales for its jump and diffusion components. We calibrate to Baltic option prices and analyze the freight rate dynamics. More specifically, we...

Persistent link: https://www.econbiz.de/10012901866