Greeks

Power plant Greeks

The computation of the price sensitivities - otherwise known as the Greeks - of a power plant is essential for proper hedging and risk management. However, due to the complexity and difficulty involved in the modelling of generation characteristics and…

A short cut to the rainbow

Per Horfelt designs an efficient and accurate method to price many popular multi-asset options such as options on the minimum and maximum of several assets and podiums. The method is based on a modification of the conditional independence model and is…