Volatility adjustment in MultiPrice – A revised TrippEl model

Løland, Anders; Hobæk Haff, Ingrid

July 01, 2004

SAMBA

• Areas: Finance, Insurance and the Electricity market
• Keywords: Implied volatility, autoregressive model, forward price
• Page(s): 8
• Name and number of project: 693001
• Title: Volatility adjustment in MultiPrice – A revised TrippEl model
• Author(s): Løland, Anders; Hobæk Haff, Ingrid
• Report number: SAMBA/20/04
• Published date: July 01, 2004