Barrier Quanto Options in Energy Markets
(2013) NEKN02 20131Department of Economics
- Abstract (Swedish)
- Weather derivatives have increased their relevance in energy markets throughout the last years. Among them, quanto options are one of the fairly new contracts that are traded, over the counter, to manage price and volume risk. Their research literature is scarce and few papers have been published so far. The purpose of the thesis is to slightly improve the current quanto options literature, from a theoretical prospective. The thesis has a presentation and discussion of quanto contract features. Then, barrier and parisian quanto options are presented as possible modifications of the basic quanto contract structure. Economic motivations of the latter issues are treated from a price and risk prospective. Then, a put style quanto option closed... (More)
- Weather derivatives have increased their relevance in energy markets throughout the last years. Among them, quanto options are one of the fairly new contracts that are traded, over the counter, to manage price and volume risk. Their research literature is scarce and few papers have been published so far. The purpose of the thesis is to slightly improve the current quanto options literature, from a theoretical prospective. The thesis has a presentation and discussion of quanto contract features. Then, barrier and parisian quanto options are presented as possible modifications of the basic quanto contract structure. Economic motivations of the latter issues are treated from a price and risk prospective. Then, a put style quanto option closed form pricing formula is derived as an extension of Benth et al. (2012) work [2]. After that, Monte Carlo simulation is used to price barrier and parisian quanto options in a theoretical framework. (Less)
Please use this url to cite or link to this publication:
http://lup.lub.lu.se/student-papers/record/3878319
- author
- Tosi, Adriano LU
- supervisor
-
- Karl Larsson LU
- Rikard Green LU
- organization
- course
- NEKN02 20131
- year
- 2013
- type
- H1 - Master's Degree (One Year)
- subject
- language
- English
- id
- 3878319
- date added to LUP
- 2013-06-20 14:43:56
- date last changed
- 2013-06-25 15:40:30
@misc{3878319,
abstract = {{Weather derivatives have increased their relevance in energy markets throughout the last years. Among them, quanto options are one of the fairly new contracts that are traded, over the counter, to manage price and volume risk. Their research literature is scarce and few papers have been published so far. The purpose of the thesis is to slightly improve the current quanto options literature, from a theoretical prospective. The thesis has a presentation and discussion of quanto contract features. Then, barrier and parisian quanto options are presented as possible modifications of the basic quanto contract structure. Economic motivations of the latter issues are treated from a price and risk prospective. Then, a put style quanto option closed form pricing formula is derived as an extension of Benth et al. (2012) work [2]. After that, Monte Carlo simulation is used to price barrier and parisian quanto options in a theoretical framework.}},
author = {{Tosi, Adriano}},
language = {{eng}},
note = {{Student Paper}},
title = {{Barrier Quanto Options in Energy Markets}},
year = {{2013}},
}