منابع مشابه
Market price of risk implied by Asian-style electricity options and futures
In this paper we propose a jump-diffusion type model which recovers the main characteristics of electricity spot price dynamics in the Nordic market, including seasonality, mean-reversion and spiky behavior. We show how the calibration of the market price of risk to actively traded futures contracts allows for efficient valuation of Nord Pool's Asian-style options written on the spot electricit...
متن کاملOption-Implied Correlations and the Price of Correlation Risk∗
We provide evidence that the risk of changes in equity correlations is priced, using data on S&P100 options and options on all the stocks in the index. We develop a model for equity prices with priced correlation risk, which generates (i) option-implied correlations that exceed realized correlations, (ii) a zero difference between implied and realized equity variances, (iii) endogenous stochast...
متن کاملManaging electricity market price risk
This paper introduces an application of financial risk management methods to the deregulated electricity markets. A framework for the Monte Carlo performance simulation of a power portfolio is presented. The optimal portfolio selection problem is addressed and a numerical method is implemented. Numerical results of simulation and optimization are presented in the Nordic electricity market. The ...
متن کاملThe price of market volatility risk
We analyze the volatility risk premium by applying a modified two-pass Fama-MacBeth procedure to the returns of a large cross section of the returns of options on individual equities. Our results provide strong evidence of a volatility risk premium that is increasing in the level of overall market volatility. This risk premium provides compensation for risk stemming both from the characteristic...
متن کاملOption-Implied Correlations, Factor Models, and Market Risk∗
Implied correlation and variance risk premium stand out in predicting market returns. However, while the predictive ability of implied correlation lasts for up to a year, the variance risk premium predicts market returns only for one quarter ahead. Contrary to the accepted view, implied correlation predicts the market return not through a diversification risk (average correlation) channel, but ...
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ژورنال
عنوان ژورنال: SSRN Electronic Journal
سال: 2009
ISSN: 1556-5068
DOI: 10.2139/ssrn.2894296