Energy Derivatives

Energy options price and sensitivities

An energy derivative is a contract based on an underlying asset, such as natural gas, crude oil, or electricity. This toolbox provides functionality to price, compute sensitivity and hedging analysis to many energy options. You can price Vanilla, Asian, Lookback, and Spread options with pricing models that include lattice models, Monte Carlo simulations, multiple closed-form solutions, and finite differences methods.

Categories

Supported Energy Derivatives
Price energy derivatives using functions for Monte Carlo simulation, closed form, or finite differences
Price Using Monte Carlo Simulation
Price spread, Asian, and vanilla options using Monte Carlo simulation with Longstaff-Schwartz option pricing model
Price Using Closed-Form Solutions
Price spread, Asian, forwards, and futures options using closed-form solutions
Price Using Finite Differences
Price options using Alternate Direction Implicit (ADI) and Crank-Nicolson finite differences methods