We develop a new approach to valuing and hedging basket and spread options. We consider
baskets of assets with potentially negative portfolio weights (spread options are a subclass …

Modelling the implied volatility surface as a function of an option’s strike price and maturity
is a subject of extensive research in financial markets. The implied volatility in commodity …

In liberalized electricity markets prices exhibit features, such as price spikes, rarely seen in
other commodity markets. Models for electricity spot price, such as mean-reverting jump-…

We address the problem of valuation and hedging of Asian basket and spread optionsderivatives
common in energy markets. We extend the Generalized LogNormal approach, …

Geometric Brownian Motion (GBM) is widely used to model the asset price dynamics.
Option price models such as the Black-Sholes and the binomial tree models rely on the …

Electricity prices in liberalized electricity markets exhibit extreme price spikes, not seen in
other commodity markets. Existing models for electricity prices, such as mean-reverting jump …

We investigate the problem of valuation and hedging of Asian basket options. We extend the
GLN (Generalized LogNormal) approach, introduced in Borovkova et al. [3], to Asian basket …

Tropical forests occupy small coral atolls to the vast Amazon basin. They occur across
bioregions with different geological and climatic history. Differences in area and bioregional …

In Borovkova et al.(2006), a new approach to valuation and hedging of basket options was
developed, based on a generalized family of lognormal approximating distributions. This …

Time series models, ie AR, ARMA or ARIMA model, are widely used to model the
commodities prices. Such models perform well in term of the price forecast. Another approach, …