3 citations · 3 across the 10 of their papers we have counts for
10 papers
Characteristic function and Esscher transform of a switching Levy model for the temperature dynamic
Rofeide Jabbari, Pablo Olivares
In this paper we extend models for the dynamic of the temperatures by considering random switching between Levy noises instead of Brownian motions, with a mean-reverting movement t…
A Finite Elements Strategy for Spread Contract Valuation Via Associated PIDE
Pablo Olivares, Ciro Diaz
We study an efficient strategy based on finite elements to value spread options on commodities whose underlying assets follow a dynamic described by a certain class of two-dimensio…
Pricing Energy Contracts under Regime Switching Time-Changed models
Konrad Gajewski, Sebastian Ferrando, Pablo Olivares
The shortcomings of the popular Black-Scholes-Merton (BSM) model have led to models which could more accurately model the behavior of the underlying assets in energy markets, parti…
Pricing Temperature Derivatives under a Time-Changed Levy Model
Pablo Olivares
The objective of the paper is to price weather contracts using temperature as the underlying process when the later follows a mean-reverting dynamics driven by a time-changed Brown…
Pricing Bitcoin Derivatives under Jump-Diffusion Models
Pablo Olivares
In recent years cryptocurrency trading has captured the attention of practitioners and academics. The volume of the exchange with standard currencies has known a dramatic increasin…
Pricing Exchange Options under Stochastic Correlation
Enrique Villamor, Pablo Olivares
In this paper we study the pricing of exchange options when underlying assets have stochastic volatility and stochastic correlation. An approximation using a closed-form approximat…