3 citations · 3 across the 10 of their papers we have counts for
6 papers · 1 filter
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 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…
Pricing Spread Options under Stochastic Correlation and Jump-Diffusion Models
Pablo Olivares, Matthew Cane
This paper examines the problem of pricing spread options under some models with jumps driven by Compound Poisson Processes and stochastic volatilities in the form of Cox-Ingersoll…
A Note on the Pricing of Basket Options Using Taylor Approximations
Pablo Olivares, Alexander Alvarez
In this paper we propose a closed-form approximation for the price of basket options under a multivariate Black-Scholes model, based on Taylor expansions and the calculation of mix…
Pricing of Basket Options Using Polynomial Approximations
Pablo Olivares
In this paper we use Bernstein and Chebyshev polynomials to approximate the price of some basket options under a bivariate Black-Scholes model. The method consists in expanding the…