CasusBelli
  • Member for 1 year, 7 months
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Can strike prices of options be negative?
1 votes

I've heard of OTC options with negative strikes in electricity markets. If you have a lot of generation from non-intermittent sources, like hydrological and nuclear, negative prices are almost ...

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Correlation sensitivity in multivariate $t$-copula for portfolio VaR of electricity futures using Kendall's tau-$b$ correlation matrix
1 votes

Instead of thinking "at the margin", I've opted to conduct an attribution of sorts, by running the copula with the empirical Kendall's tau-b correlation matrix and again with a zero matrix. ...

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