Recent content by Gubo

Beta assumes that the CAPM holds in all cases which I highly doubt. I use two measures: 30 day rolling correlation and implied volatility. But then again it depends what are you trying to achieve (how you will use it) with this information...

Hello, I was wondering today when i was looking at eex, how could one hedge if you had issued an american call option on electricity if we assume that the prices move as geometrical brownian motion and that the volatility is not constant and we allow jumps? Cheers