<t>Does anyone have any good reading material on how realized volatility should be calculated when bigger moves occur relative to when the gamma increases? If replication = price then it stands to reason that an asset which see larger moves at expiry will have a higher technical replicating portfoli...

<t>Hi, I am looking to do some work on the Power and Natural Gas market's historical time series data. Currently the marginal fuel is Natural Gas and the market moves the price of peak power by approx 7.5. So Power-7.5*Gas = Spark. The spark is variable based on demand, state of the grid, etc. Most ...