英文标题：
《On the sensitivity analysis of energy quanto options》
---
作者：
Rodwell Kufakunesu and Farai Mhlanga
---
最新提交年份：
2018
---
英文摘要：
In recent years there has been an advent of quanto options in energy markets. The structure of the payoff is rather a different type from other markets since it is written as a product of an underlying energy index and a measure of temperature. In the HJM framework, by adopting the futures energy dynamics, we use the Malliavin calculus to derive the delta and the cross-gamma expectation formulas. This work can be viewed as an extension of the work done, for example by Benth et al. [1].
---
中文摘要：
近年来，能源市场出现了quanto期权。回报的结构与其他市场有很大的不同，因为它是作为基础能源指数和温度度量的产品来写的。在HJM框架中，通过采用未来能源动力学，我们使用Malliavin演算推导了delta和cross gamma期望公式。这项工作可以看作是Benth等人所做工作的延伸。
---
分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Pricing of Securities 证券定价
分类描述：Valuation and hedging of financial securities, their derivatives, and structured products
金融证券及其衍生产品和结构化产品的估值和套期保值
--
一级分类：Mathematics 数学
二级分类：Probability 概率
分类描述：Theory and applications of probability and stochastic processes: e.g. central limit theorems, large deviations, stochastic differential equations, models from statistical mechanics, queuing theory
概率论与随机过程的理论与应用：例如中心极限定理，大偏差，随机微分方程，统计力学模型，排队论
--
一级分类：Quantitative Finance 数量金融学
二级分类：Computational Finance 计算金融学
分类描述：Computational methods, including Monte Carlo, PDE, lattice and other numerical methods with applications to financial modeling
计算方法，包括蒙特卡罗，偏微分方程，格子和其他数值方法，并应用于金融建模
--

---
PDF下载：
-->