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- Title:
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
- 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
BibTeX
versions
Occurrences:
- mediaTUM GesamtbestandEinrichtungenSchools TUM School of Computation, Information and TechnologyDepartmentsMathematicsLehrstuhl für Finanzmathematik (Prof. Zagst)Journal PapersKhedher, A.