Local sensitivity analysis of heating degree day and cooling degree day temperature derivatives prices
Fuente:
arXiv
Saved in:
| Main Author: | Blanco, Sara Ana Solanilla |
|---|---|
| Format: | Preprint |
| Published: |
2024
|
| Subjects: | |
| Online Access: | |
| Tags: |
Add Tag
No Tags, Be the first to tag this record!
|
Similar Items
On some semi-parametric estimates for European option prices
by: Marinelli, Carlo
Published: (2023)
by: Marinelli, Carlo
Published: (2023)
No-arbitrage conditions and pricing from discrete-time to continuous-time strategies
by: Cherif, Dorsaf, et al.
Published: (2024)
by: Cherif, Dorsaf, et al.
Published: (2024)
Universal approximation on non-geometric rough paths and applications to financial derivatives pricing
by: Harang, Fabian A., et al.
Published: (2024)
by: Harang, Fabian A., et al.
Published: (2024)
American option pricing using generalised stochastic hybrid systems
by: Buckwar, Evelyn, et al.
Published: (2024)
by: Buckwar, Evelyn, et al.
Published: (2024)
Valuation Model of Chinese Convertible Bonds Based on Monte Carlo Simulation
by: Liu, Yu
Published: (2024)
by: Liu, Yu
Published: (2024)
A review of the Markov model of life insurance with a view to surplus
by: Haçarız, Oytun, et al.
Published: (2025)
by: Haçarız, Oytun, et al.
Published: (2025)
European Option Pricing Under Generalized Tempered Stable Process: Empirical Analysis
by: Nzokem, A. H.
Published: (2023)
by: Nzokem, A. H.
Published: (2023)
A recursive formula for the $n^\text{th}$ survival function and the $n^\text{th}$ first passage time distribution for jump and diffusion processes. Applications to the pricing of $n^\text{th}$-to-default CDS
by: Lapolla, Alessio
Published: (2025)
by: Lapolla, Alessio
Published: (2025)
Deep learning of transition probability densities for stochastic asset models with applications in option pricing
by: Su, Haozhe, et al.
Published: (2021)
by: Su, Haozhe, et al.
Published: (2021)
SABR/LIBOR market models: pricing and calibration for some interest rate derivatives
by: Ferreiro, A. M., et al.
Published: (2024)
by: Ferreiro, A. M., et al.
Published: (2024)
Super-hedging-pricing formulas and Immediate-Profit arbitrage for market models under random horizon
by: Choulli, Tahir, et al.
Published: (2024)
by: Choulli, Tahir, et al.
Published: (2024)
Numerical approximations of McKean Anticipative Backward Stochastic Differential Equations arising in Initial Margin requirements
by: Agarwal, A., et al.
Published: (2024)
by: Agarwal, A., et al.
Published: (2024)
Heat modulated affine stochastic volatility models for forward curve dynamics
by: Karbach, Sven
Published: (2024)
by: Karbach, Sven
Published: (2024)
On the valuation of life insurance policies for dependent coupled lives
by: Henshaw, Kira, et al.
Published: (2024)
by: Henshaw, Kira, et al.
Published: (2024)
Extrema, Barrier Options, and Semi-Analytic Leverage Corrections in Stochastic-Clock Volatility Models
by: Guillaume, Tristan
Published: (2026)
by: Guillaume, Tristan
Published: (2026)
Handling model risk with XVAs
by: Bénézet, Cyril, et al.
Published: (2022)
by: Bénézet, Cyril, et al.
Published: (2022)
Dependence bounds for the difference of stop-loss payoffs on the difference of two random variables
by: Hanbali, Hamza, et al.
Published: (2025)
by: Hanbali, Hamza, et al.
Published: (2025)
Stochastic Policy Gradient Methods in the Uncertain Volatility Model
by: Abbas-Turki, Lokman A, et al.
Published: (2026)
by: Abbas-Turki, Lokman A, et al.
Published: (2026)
An extended CIR process with stochastic discontinuities
by: Fontana, Claudio, et al.
Published: (2025)
by: Fontana, Claudio, et al.
Published: (2025)
Berms without Calibration
by: Feldman, K. E.
Published: (2025)
by: Feldman, K. E.
Published: (2025)
Pricing of barrier options by marginal functional quantization
by: Sagna, Abass
Published: (2010)
by: Sagna, Abass
Published: (2010)
Fair sharing ratios of Profit and Loss sharing contracts
by: Sagna, Abass
Published: (2025)
by: Sagna, Abass
Published: (2025)
Alternatives to classical option pricing
by: Lindquist, W. Brent, et al.
Published: (2024)
by: Lindquist, W. Brent, et al.
Published: (2024)
Multivariate Lévy models: calibration and pricing
by: Amici, Giovanni, et al.
Published: (2023)
by: Amici, Giovanni, et al.
Published: (2023)
Denoised Monte Carlo for option pricing and Greeks estimation
by: Daniluk, Andrzej, et al.
Published: (2024)
by: Daniluk, Andrzej, et al.
Published: (2024)
A general framework for pricing and hedging under local viability
by: Chau, Huy N., et al.
Published: (2024)
by: Chau, Huy N., et al.
Published: (2024)
Short-maturity asymptotics for option prices with interest rates effects
by: Pirjol, Dan, et al.
Published: (2024)
by: Pirjol, Dan, et al.
Published: (2024)
Risk-indifference Pricing of American-style Contingent Claims
by: Kumar, Rohini, et al.
Published: (2024)
by: Kumar, Rohini, et al.
Published: (2024)
Path-dependent, ESG-valued, option pricing in the Bachelier-Black-Scholes-Merton model
by: Divelgama, Bhathiya, et al.
Published: (2025)
by: Divelgama, Bhathiya, et al.
Published: (2025)
PDEs for pricing interest rate derivatives under the new generalized Forward Market Model (FMM)
by: López-Salas, J. G., et al.
Published: (2024)
by: López-Salas, J. G., et al.
Published: (2024)
Scaling Limits for Exponential Hedging in the Brownian Framework
by: Dolinksy, Yan, et al.
Published: (2025)
by: Dolinksy, Yan, et al.
Published: (2025)
Dynamic Asset Pricing Theory for Life Contingent Risks
by: Ling, Patrick
Published: (2025)
by: Ling, Patrick
Published: (2025)
European Options in Market Models with Multiple Defaults: the BSDE approach
by: Grigorova, Miryana, et al.
Published: (2026)
by: Grigorova, Miryana, et al.
Published: (2026)
Notes on Correlation Stress Tests
by: Chmielowski, Piotr
Published: (2025)
by: Chmielowski, Piotr
Published: (2025)
Rolling intrinsic for battery valuation in day-ahead and intraday markets
by: Oeltz, Daniel, et al.
Published: (2025)
by: Oeltz, Daniel, et al.
Published: (2025)
On the Local equivalence of the Black Scholes and the Merton Garman equations
by: Arraut, Ivan
Published: (2024)
by: Arraut, Ivan
Published: (2024)
Asymptotics for Short Maturity Asian Options in Jump-Diffusion models with Local Volatility
by: Pirjol, Dan, et al.
Published: (2023)
by: Pirjol, Dan, et al.
Published: (2023)
Interest rate convexity in a Gaussian framework
by: Jacquier, Antoine, et al.
Published: (2023)
by: Jacquier, Antoine, et al.
Published: (2023)
Measuring the performance of investments in information security startups: An empirical analysis by cybersecurity sectors using Crunchbase data
by: Maréchal, Loïc, et al.
Published: (2024)
by: Maréchal, Loïc, et al.
Published: (2024)
Dispensing with optimal control: a new approach for the pricing and management of share buyback contracts
by: Baldacci, Bastien, et al.
Published: (2024)
by: Baldacci, Bastien, et al.
Published: (2024)
Similar Items
-
On some semi-parametric estimates for European option prices
by: Marinelli, Carlo
Published: (2023) -
No-arbitrage conditions and pricing from discrete-time to continuous-time strategies
by: Cherif, Dorsaf, et al.
Published: (2024) -
Universal approximation on non-geometric rough paths and applications to financial derivatives pricing
by: Harang, Fabian A., et al.
Published: (2024) -
American option pricing using generalised stochastic hybrid systems
by: Buckwar, Evelyn, et al.
Published: (2024) -
Valuation Model of Chinese Convertible Bonds Based on Monte Carlo Simulation
by: Liu, Yu
Published: (2024)