TY  - GEN
AB  - In this paper we introduce an additive two-factor model for electricity futures
prices based on Normal Inverse Gaussian Lévy processes, that fulfills
a no-overlapping-arbitrage (NOA) condition. We compute European option
prices by Fourier transform methods, introduce a specific calibration procedure
that takes into account no-arbitrage constraints and fit the model to power option
settlement prices of the European Energy Exchange (EEX). We show that
our model is able to reproduce the different levels and shapes of the implied
volatility (IV) profiles displayed by options with a variety of delivery periods.
DA  - 2019
KW  - Volatility Smile
KW  - Overlapping Delivery Periods
KW  - Arbitrage
KW  - Additive Models
KW  - Power Options
KW  - FFT
LA  - eng
PY  - 2019
SN  - 0931-6558
SP  - 34-
TI  - Capturing the power options smile by an additive two-factor model for overlapping futures prices
UR  - https://nbn-resolving.org/urn:nbn:de:0070-pub-29377564
Y2  - 2024-11-24T12:39:49
ER  -