Pricing Electricity Swaptions under a Stochastic Volatility Term-Structure Model with Jumps
Evidence from the Nord Pool Market
www.kyos.com, +31 (0)23 5510221, Marcus Nossman, [email protected]
R. Green, Lund UniversityK. Larsson, Lund UniversityM. Nossman, Kyos Energy Consulting
Conference on Energy Finance, Vienna, Austria, 2012-09-17
Outline of the Presentation
Introduction of the model
Introduction of the model
Introduction of the model
Introduction of the model
Introduction of the model
Introduction of the model
Introduction of the model
Implied volatility data from the Nord Pool market
Calibration procedure
Calibration procedure
In-sample and out-of-sampel results
In-sample and out-of-sampel results
In-sample and out-of-sampel results
In-sample and out-of-sampel results
In-sample and out-of-sampel results
In-sample and out-of-sampel results
In-sample and out-of-sampel results
Conclusions
References
