Energy Market Calibration
The article proposes a model to align historical correlations of futures contracts with implied volatility smiles using two specific mathematical models.
Featured in No. 83 on 23 Jan 2025 · 11 days after release
- Released
- 12 Jan 2025
- First featured
- No. 83 · 23 Jan 2025
- Published in
- Not yet, as far as Semantic Scholar knows
- Shares when featured
- 233
- Identifier
- SSRN 5094585
Citations and venue from Semantic Scholar (ODC-BY), refreshed weekly. Summary: Quant Letter (CC BY 4.0).