This example shows how to price and calculate sensitivities for European and American spread options using various techniques.
This example shows different hedging strategies to minimize exposure in the Energy market using Crack Spread Options.
This example shows how to price a swing option using a Monte Carlo simulation and the Longstaff-Schwartz method.
This example shows how to simulate electricity prices using a mean-reverting model with seasonality and a jump component.
This example shows how to price a European Asian option using four methods in the Financial Instruments Toolbox™.
Energy derivatives supported by Financial Instruments Toolbox™.
A spread option is an option written on the difference of two underlying assets.
An Asian option is a path-dependent option with a payoff linked to the average value of the underlying asset during the life of the option.
A vanilla option has an expiration date and straightforward strike price.
A lookback option is a path-dependent option based on the maximum or minimum value the underlying asset achieves during the entire life of the option.