Linking Futures and Options Pricing in the Natural Gas Market
A robust model for natural gas prices should simultaneously capture the observed prices of both futures and options. While incorporating a seasonal factor in the convenience yield of the spot price effectively replicates forward curves, it proves insufficient for accurately modelling the options pri...
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| Main Author: | |
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| Format: | Article |
| Language: | English |
| Published: |
MDPI AG
2025-06-01
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| Series: | Risks |
| Subjects: | |
| Online Access: | https://www.mdpi.com/2227-9091/13/6/107 |
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