Brown Bag Seminar: A Copula-Based Approach for the Pricing of Energy Quanto Options

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Relatore:  Amia Santini - Università di Bologna
  martedì 20 gennaio 2026 alle ore 12.00 Aula Vaona
This work proposes a novel pricing methodology for Energy Quanto Options (EQOs), derivative instruments which aim to mitigate the joint risk from temperature and electricity price fluctuations. We employ a copula-based approach, ensuring maximum flexibility in the modeling of codependence and the ability to capture tail risk. This pricing methodology leads to an explicit, closed-form solution, independent of Monte Carlo methods.
Referente
Andrea Mazzon
Referente esterno
Data pubblicazione
21 novembre 2025
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