Stochastic Path-Dependent Volatility Models for Price-Storage Dynamics in Natural Gas Markets and Discrete-Time Swing Option Pricing
By Jinniao Qiu, Antony Ware, Yang Yang
Rating
1727
Battle Count: 88
Relevance
8/10
Highly relevant for energy trading, particularly natural gas markets. The model captures complex price-storage dynamics and offers a novel approach to swing option pricing.
Implementation Complexity
7/10
The model involves complex stochastic differential equations and requires advanced numerical methods for calibration and option pricing
Reproducibility
3/5
The paper provides detailed model equations and calibration methods, but full code implementation is not provided
About this paper
Methodology: Stochastic Path-Dependent Volatility Model. Problem types: Time Series Forecasting, Option Pricing, Optimization.
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