Maren Diane Schmeck

Bielefeld University - Center for Mathematical Economics

Postfach 10 01 31

Bielefeld, D-33501

Germany

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Scholarly Papers (1)

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On the Seasonality in the Implied Volatility of Electricity Options

Viviana Fanelli & Maren Diane Schmeck (2019) On the seasonality in the implied volatility of electricity options, Quantitative Finance, DOI: 10.1080/14697688.2019.1582792
Number of pages: 28 Posted: 23 May 2018 Last Revised: 08 Apr 2019
Viviana Fanelli and Maren Diane Schmeck
University of Bari and Bielefeld University - Center for Mathematical Economics
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Abstract:

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Implied Volatility, Electricity Options, Seasonality, Factor Models, Settlement Prices