Kufakunesu, RodwellMhlanga, Farai JuliusGuambe, Calisto2022-09-142022Rodwell Kufakunesu, Farai Julius Mhlanga & Calisto Guambe (2022) On the sensitivity analysis of energy quanto options, Stochastic Analysis and Applications, 40:6, 1104-1125, DOI: 10.1080/07362994.2021.1984945.0736-2994 (print)1532-9356 (online)10.1080/07362994.2021.1984945https://repository.up.ac.za/handle/2263/87167In recent years there has been an advent of quanto options in energy markets. The structure of the payoff is rather a different type from other markets since it is written as a product of an underlying energy index and a measure of temperature. In the Heath-Jarrow-Morton (HJM) framework, by adopting the futures energy dynamics and model with stochastic volatility, we use the Malliavin calculus to derive the energy delta, temperature delta and cross-gamma formulae. The results reveal that these quantities are expressed in terms of expectations of the payoff and a random variable only depending on the underlying dynamics. This work can be viewed as a generalization of the work done, for example, by Benth et al. (2015).en© 2021 Taylor and Francis. This is an electronic version of an article published in Stochastic Analysis and Applications, vol. 40, no. 6, pp. 1104-1125, 2022, doi : 10.1080/07362994.2021.1984945. Stochastic Analysis and Applications is available online at : http://www.tandfonline.comloi/lsaa20.Energy optionFuturesMalliavin derivativesHeath-Jarrow-Morton (HJM) frameworkPostprint Article