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

Published 2024-06-25

Everscope rating

1737.2

Relevance to quantitative trading

8 / 10

Implementation complexity

7 / 10

Reproducibility

3 / 5

About this paper

Methodology: Stochastic Path-Dependent Volatility Model. Problem types: Time Series Forecasting, Option Pricing, Optimization.

arXiv:2406.16400 · Paper rankings

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