long - term volatility curves grant ,
can research in houston put together a comparison of the long - term volatility
curves for gas and power in north america and europe ? based on where europe
is marked ( especially for the uk ) , i think we ' ll find a significant
difference out beyond 10 years . fundamentally , it seems like the long - term
vol should be similar for a given commodity regardless of geographic location .
has research done any work on this in the past ? if not , we should study this
since long - term vol feeds into the var - based position limits .
give me a call so we can discuss .
thanks
dale
long - term volatility curves
grant ,
can research in houston put together a comparison of the long - term volatility
curves for gas and power in north america and europe ? based on where europe
is marked ( especially for the uk ) , i think we ' ll find a significant
difference out beyond 10 years . fundamentally , it seems like the long - term
vol should be similar for a given commodity regardless of geographic location .
has research done any work on this in the past ? if not , we should study this
since long - term vol feeds into the var - based position limits .
give me a call so we can discuss .
thanks
dale