On the sensitivity analysis of energy quanto options

Rodwell Kufakunesu and Farai Mhlanga

Papers from arXiv.org

Abstract: In recent years there has been an advent of quanto options in energy markets. The structure of the payoff is rather a different type from other markets since it is written as a product of an underlying energy index and a measure of temperature. In the HJM framework, by adopting the futures energy dynamics, we use the Malliavin calculus to derive the delta and the cross-gamma expectation formulas. This work can be viewed as an extension of the work done, for example by Benth et al. [1].

Date: 2018-10
New Economics Papers: this item is included in nep-ene
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://arxiv.org/pdf/1810.06335 Latest version (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:1810.06335

Access Statistics for this paper

More papers in Papers from arXiv.org
Bibliographic data for series maintained by arXiv administrators ().