Portia Mawire

2 Questions 3 Answers 0 Followers

Questions related from Portia Mawire

Heston stochastic volatility model for option pricing?

I have to use Heston estimating the price of energy options(gas and electricity) for my research work Iam using Matlab for model calibration and I have derived first the short term forward...

26 July 2018 7,687 6 View

For implementation of extended-Heston stochastic volatility model on electricity forward pricing what are the likely challenges to be faced?

Iam trying to value electricity forward contract from the spot price model using Heston stochastic volatility model for short term contract like weekly. I also intend to price spark spread...

09 June 2018 3,122 1 View