Energy Commodities, New Approaches for Pricing Options

155 Pages Posted: 8 Dec 2022

See all articles by Carme Frau

Carme Frau

Universitat de les Illes Balears

Date Written: May 19, 2022

Abstract

This document collects three papers, the final version of which can be found in SSRN. The first one expands the model in Trolle and Schwartz (2009) with iid and time-dampening jumps and prices plain vanilla options; the second one expands it wih seasonality in the variance and prices plain vanilla options; the third one prices spread options.

Keywords: Commodities, option pricing, Fourier transform, analytical solutions

JEL Classification: C51, C63, G13

Suggested Citation

Frau, Carme, Energy Commodities, New Approaches for Pricing Options (May 19, 2022). Available at SSRN: https://ssrn.com/abstract=4211358 or http://dx.doi.org/10.2139/ssrn.4211358

Carme Frau (Contact Author)

Universitat de les Illes Balears ( email )

Business Economics Department
Jovellanos Building, Road to Valldemossa km. 7,5
Palma de Mallorca, 07122
Spain

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