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• W2896821611 abstract "In recent years there has been an advent of quanto options in energy markets. The structure of the payoff is rather a different type from other markets since it is written as a product of an underlying energy index and a measure of temperature. In the HJM framework, by adopting the futures energy dynamics, we use the Malliavin calculus to derive the delta and the cross-gamma expectation formulas. This work can be viewed as an extension of the work done, for example by Benth et al. [1]." @default.
• W2896821611 created "2018-10-26" @default.
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• W2896821611 date "2018-10-12" @default.
• W2896821611 modified "2023-10-11" @default.
• W2896821611 title "On the sensitivity analysis of energy quanto options" @default.
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