Carme Frau

Universitat de les Illes Balears

Business Economics Department

Jovellanos Building, Road to Valldemossa km. 7,5

Palma de Mallorca, 07122

Spain

SCHOLARLY PAPERS

5

DOWNLOADS

994

TOTAL CITATIONS

2

Scholarly Papers (5)

1.

Seasonality in Commodity Prices: New Approaches for Pricing Plain Vanilla Options

Annals of Operations Research, 2023
Number of pages: 43 Posted: 18 Oct 2021 Last Revised: 20 Jan 2023
Carme Frau and Viviana Fanelli
Universitat de les Illes Balears and Università degli Studi di Bari “Aldo Moro” (UNIBA)
Downloads 262 (240,643)
Citation 1

Abstract:

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Commodities, natural gas, futures prices, option pricing, fast Fourier transform (FFT), term-structure model, analytical solution, seasonal stochastic volatility, sinusoidal functions.

2.

Jumps in Commodity Prices: New Approaches for Pricing Plain Vanilla Options

Energy Economics, Vol. 114, 2022
Number of pages: 41 Posted: 27 Feb 2021 Last Revised: 20 Jan 2023
Carme Frau and John Crosby
Universitat de les Illes Balears and University of Maryland - Robert H. Smith School of Business
Downloads 252 (250,428)
Citation 1

Abstract:

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Commodities, crude oil, futures prices, option pricing, Fourier transform, fast Fourier transform, term-structure model, analytical solution, stochastic volatility, jump-diffusion.

3.

Spread Options on Commodity Prices

Number of pages: 30 Posted: 07 Jul 2022
Universitat de les Illes Balears, Università del Piemonte Orientale Dipartimento di Studi per l'Economia e l'Impresa and Bayes Business School (formerly Cass), City, University of London
Downloads 208 (301,199)

Abstract:

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Commodities, crack spread option, calendar spread option, joint characteristic function, Fourier inversion, Fourier transform, analytical solution

4.

Energy Commodities and Calendar Spread Options

Number of pages: 33 Posted: 19 Jul 2023 Last Revised: 18 Sep 2024
Universitat de les Illes Balears, Università del Piemonte Orientale Dipartimento di Studi per l'Economia e l'Impresa and Bayes Business School (formerly Cass), City, University of London
Downloads 203 (308,207)

Abstract:

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Energy commodities, bivariate processes, calendar spread option, joint characteristic function, analytical solution

5.

Energy Commodities, New Approaches for Pricing Options

Number of pages: 155 Posted: 08 Dec 2022
Carme Frau
Universitat de les Illes Balears
Downloads 69 (679,514)

Abstract:

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Commodities, option pricing, Fourier transform, analytical solutions