Pricing electricity swaptions under a stochastic volatility term structure model

2013 ◽  
Vol 6 (4) ◽  
pp. 43-67
Author(s):  
Rikard Green ◽  
Karl Larsson ◽  
Marcus Nossman
Keyword(s):  
Stochastic Volatility ◽  
Term Structure ◽  
Structure Model ◽  
Term Structure Model

Martingales versus PDEs in finance: an equivalence result with examples

2000 ◽  
Vol 37 (04) ◽  
pp. 947-957 ◽  
Author(s):  
David Heath ◽  
Martin Schweizer
Keyword(s):  
Stochastic Volatility ◽  
Term Structure ◽  
Sufficient Conditions ◽  
Stochastic Volatility Model ◽  
Structure Model ◽  
Term Structure Model ◽  
Volatility Model ◽  
Equivalence Result

We provide a set of verifiable sufficient conditions for proving in a number of practical examples the equivalence of the martingale and the PDE approaches to the valuation of derivatives. The key idea is to use a combination of analytic and probabilistic assumptions that covers typical models in finance falling outside the range of standard results from the literature. Applications include Heston's stochastic volatility model and the Black-Karasinski term structure model.

Martingales versus PDEs in finance: an equivalence result with examples

2000 ◽  
Vol 37 (4) ◽  
pp. 947-957 ◽  
Author(s):  
David Heath ◽  
Martin Schweizer
Keyword(s):  
Stochastic Volatility ◽  
Term Structure ◽  
Sufficient Conditions ◽  
Stochastic Volatility Model ◽  
Structure Model ◽  
Term Structure Model ◽  
Volatility Model ◽  
Equivalence Result

We provide a set of verifiable sufficient conditions for proving in a number of practical examples the equivalence of the martingale and the PDE approaches to the valuation of derivatives. The key idea is to use a combination of analytic and probabilistic assumptions that covers typical models in finance falling outside the range of standard results from the literature. Applications include Heston's stochastic volatility model and the Black-Karasinski term structure model.

Sign in / Sign up

Export Citation Format

Share Document