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Quantitative Finance Volume 19, 2019 - Issue 8
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Research Papers

On the seasonality in the implied volatility of electricity options

Viviana FanelliDepartment of Economics, Management and Business Law, University of Bari, Bari, Italy
&
Maren Diane SchmeckCenter for Mathematical Economics, Bielefeld University, Bielefeld, GermanyCorrespondence[email protected]
Pages 1321-1337 | Received 14 Jun 2018, Accepted 01 Feb 2019, Published online: 26 Mar 2019

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Daniel Ciuiu, Marina Bădileanu & Luminiţa-Izabell Georgescu. (2020) Energy resources’ seasonal/daily dependencies under coupled operation of day-ahead markets. Energy Sources, Part B: Economics, Planning, and Policy 15:3, pages 186-209.
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Articles from other publishers (13)

Ashwini Kumari, B. Ismail & Ms. Manjula. (2023) A comparison of seasonal volatility models. Materials Today: Proceedings.
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Shaoshan Xu, Jun Shen, Haochen Hua, Fangshu Li, Kun Yu, Zhenxing Li, Xinqiang Gao & Xueqiang Dong. (2023) Trading Portfolio Strategy Optimization via Mean-Variance Model Considering Multiple Energy Derivatives. Processes 11:2, pages 532.
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Farshid Mehrdoust & Idin Noorani. (2022) Valuation of Spark-Spread Option Written on Electricity and Gas Forward Contracts Under Two-Factor Models with Non-Gaussian Lévy Processes. Computational Economics 61:2, pages 807-853.
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Carme Frau & Viviana Fanelli. (2023) Seasonality in commodity prices: new approaches for pricing plain vanilla options. Annals of Operations Research.
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Annika Kemper, Maren Diane Schmeck & Anna Kh.Balci. (2022) The market price of risk for delivery periods: Pricing swaps and options in electricity markets. Energy Economics 113, pages 106221.
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Dimitrios Kontogiannis, Dimitrios Bargiotas, Aspassia Daskalopulu, Athanasios Ioannis Arvanitidis & Lefteri H. Tsoukalas. (2022) Error Compensation Enhanced Day-Ahead Electricity Price Forecasting. Energies 15:4, pages 1466.
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L. Schneider & B. Tavin. (2021) Seasonal volatility in agricultural markets: modelling and empirical investigations. Annals of Operations Research.
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Maren Diane Schmeck & Stefan Schwerin. (2021) The Effect of Mean-Reverting Processes in the Pricing of Options in the Energy Market: An Arithmetic Approach. Risks 9:5, pages 100.
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Emanuele Fabbiani, Andrea Marziali & Giuseppe De Nicolao. (2021) Fast calibration of two‐factor models for energy option pricing. Applied Stochastic Models in Business and Industry 37:3, pages 661-671.
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Marco Piccirilli, Maren Diane Schmeck & Tiziano Vargiolu. (2021) Capturing the power options smile by an additive two-factor model for overlapping futures prices. Energy Economics 95, pages 105006.
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Emanuele Fabbiani, Andrea Marziali & Giuseppe De Nicolao. (2020) vanilla-option-pricing: Pricing and market calibration for options on energy commodities. Software Impacts 6, pages 100043.
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Carme Frau & Viviana Fanelli. (2021) Seasonality in Commodity Prices: New Approaches for Pricing Plain Vanilla Options. SSRN Electronic Journal.
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Lorenz Schneider & Bertrand Tavin. (2015) Seasonal Stochastic Volatility and Correlation Together with the Samuelson Effect in Commodity Futures Markets. SSRN Electronic Journal.
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