Time-varying volatility model equipped with regime switching factor: valuation of option price written on energy futures
This paper explores the calculation of European option prices on energy futures using a time-varying volatility model enhanced by a regime switching factor. We develop a semi-analytical method to determine the price of European options on these energy futures, involving the derivation of the charact...
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| Format: | article |
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2025
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| Online Access: | https://hdl.handle.net/11073/33301 |
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