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arXiv · 1810.06335

On the sensitivity analysis of energy quanto options

Rodwell Kufakunesu·Farai Mhlanga
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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].

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Rodwell Kufakunesu, Farai Mhlanga. 2018-10-12. On the sensitivity analysis of energy quanto options. https://arxiv.org/abs/1810.06335

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