English (United Kingdom)

https://curated-unify.zendy.io/wp-json/zendy-region/v1/featured_content/oa?rat=en

https://curated-unify.zendy.io/wp-json/zendy-region/v1/highlighted_journal/

Zendy Plus

Presents the access of premium content as premium feature

Premium Content

Presents the keyphrase highlighting as premium feature

Keyphrase Highlighting

Presents the summarisation as premium feature

Summarisation

Insights

Presents the pdf analysis as premium feature

PDF Analysis

Presents the zaia usage as premium feature

ZAIA

Zendy Tools

Zendy Open

Consider the problem of pricing options on forwards in energy markets, whenspot prices follow a geometric multi-factor model in which several rates ofmean reversion appear. In this paper we investigate the role played by slowmean reversion when pricing and hedging options. In particular, we determineboth upper and lower bounds for the error one makes neglecting low rates ofmean reversion in the spot price dynamics.

Pricing options on forwards in energy markets: the role of mean reversion's speed