TTF gas spot prices recently showed a lot of movement. To better reflect these swings, we slightly changed the mean-reversion rate model.
Cyriel de Jong and Ronald Huisman have written the following article about the topic of Option Pricing. It appeared first in 2003 in the Journal of Energy Power Risk Management. The authors examine the impact of spikes on option prices. They compare prices from a standard mean-reverting model to a regime model that disentangles the spike process from the mean-reverting… Read more »