Fast calibration of two‐factor models for energy option pricing-Reference-Cited by-同舟云学术

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Fast calibration of two‐factor models for energy option pricing

Published:2021-01-10 Issue: Volume: Page:
ISSN:1524-1904
Container-title:Applied Stochastic Models in Business and Industry
language:en
Short-container-title:Appl Stochastic Models Bus Ind

Author:

Fabbiani Emanuele¹^ORCID,Marziali Andrea¹,De Nicolao Giuseppe¹

Affiliation:

1. Department of Electrical, Computer and Biomedical Engineering University of Pavia Pavia Italy

Publisher

Wiley

Subject

Management Science and Operations Research,General Business, Management and Accounting,Modeling and Simulation

Link

https://onlinelibrary.wiley.com/doi/pdf/10.1002/asmb.2604

Reference30 articles.

1. The Pricing of Options and Corporate Liabilities

2. The pricing of commodity contracts

3. The Stochastic Behavior of Commodity Prices: Implications for Valuation and Hedging

Cited by 2 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. Estimation of the Number of Factors in a Multi-Factorial Heath-Jarrow-Morton Model in Power Markets;Quantitative Energy Finance;2024

2. A survey of electricity spot and futures price models for risk management applications;Energy Economics;2021-10

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