Computation of Greeks in multi-factor models with applications to power and commodity markets

Document type:: Zeitschriftenaufsatz
Author(s):: Benth, F.E.; Di Nunno, G.; Khedher, A.
Non-TUM Co-author(s):: ja
Cooperation:: international
Title:: Computation of Greeks in multi-factor models with applications to power and commodity markets
Abstract:: We study the computation of the Greeks of options written on assets modelled by a multi-factor dynamics. For this purpose, we apply the conditional density method in which the knowledge of the density of one factor is enough to derive expressions for the Greeks not involving any differentiation of the payoff function. Several examples are given in applications to power and commodity markets, including numerical examples.
Intellectual Contribution:: Discipline-based Research
Journal title:: Journal of Energy Markets
Year:: 2012
Journal volume:: 5
Journal issue:: 4
Pages contribution:: 3-31
Reviewed:: ja
Language:: en
Status:: Postprint / reviewed
Format:: Text
Key publication:: Nein
Peer reviewed:: Ja
International:: Ja
Book review:: Nein
Commissioned:: not commissioned
Professional Journal:: Nein
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