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

Titel:: Computation of Greeks in multi-factor models with applications to power and commodity markets
Dokumenttyp:: Zeitschriftenaufsatz
Autor(en):: Benth, F.E.; Di Nunno, G.; Khedher, A.
Nicht-TUM Koautoren:: ja
Kooperation:: 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
Zeitschriftentitel:: Journal of Energy Markets
Jahr:: 2012
Band / Volume:: 5
Heft / Issue:: 4
Seitenangaben Beitrag:: 3-31
Reviewed:: ja
Sprache:: 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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