Fast calibration of two-factor models for energy option pricing

  title={Fast calibration of two-factor models for energy option pricing},
  author={E. Fabbiani and A. Marziali and G. Nicolao},
  journal={arXiv: Pricing of Securities},
Deregulation of energy markets in the 90s boosted the interest in energy derivatives. Over the last two decades, more and more complex financial instruments were developed. Pricing exotic derivatives often involves Monte Carlo simulations, which rely on stochastic processes to model the underlyings: it is thus critical to choose appropriate models and precisely calibrate them, so that they reflect the market scenario. Several models have been proposed in the literature, from the simple… Expand
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