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(Research report / Forskningsrapport, 2007)
In this paper we develop a model for electricity spot price dynamics. The spot price is assumed to follow an exponential Ornstein-Uhlenbeck (OU) process with an added compound Poisson process, therefore the model allows ...
(Research report / Forskningsrapport, 2007)
We derive derivative-free formulas for the delta and other Greeks of options written on an asset modeled by a geometric Brownian motion with stochastic volatility of Barndorff-Nielsen and Shephard type. The method applies ...
(Research report / Forskningsrapport, 2007)
In recent decades, there has been a growing interest for utility indifference based approaches to solve the question of pricing of derivatives in incomplete markets. In this paper we consider a stochastic volatility model ...