94 citations · 268 across the 41 of their papers we have counts for
4 papers · 1 filter
Derivatives pricing in energy markets: an infinite dimensional approach
Fred Espen Benth, Paul Krühner
Based on forward curves modelled as Hilbert-space valued processes, we analyse the pricing of various options relevant in energy markets. In particular, we connect empirical eviden…
Pricing and hedging of energy spread options and volatility modulated Volterra processes
Fred Espen Benth, Hanna Zdanowicz
We derive the price of a spread option based on two assets which follow a bivariate volatility modulated Volterra process dynamics. Such a price dynamics is particularly relevant i…
A change of measure preserving the affine structure in the BNS model for commodity markets
Fred Espen Benth, Salvador Ortiz-Latorre
For a commodity spot price dynamics given by an Ornstein-Uhlenbeck process with Barndorff-Nielsen and Shephard stochastic volatility, we price forwards using a class of pricing mea…
Representation of infinite dimensional forward price models in commodity markets
Fred Espen Benth, Paul Krühner
We study the forward price dynamics in commodity markets realized as a process with values in a Hilbert space of absolutely continuous functions defined by Filipović. The forward d…