Approximation of forward curve models in commodity markets with arbitrage-free finite-dimensional models
Fred Espen Benth, Paul Krühner
| Year of publication: |
April 2018
|
|---|---|
| Authors: | Benth, Fred Espen ; Krühner, Paul |
| Published in: |
Finance and stochastics. - Berlin : Springer, ISSN 0949-2984, ZDB-ID 1356339-7. - Vol. 22.2018, 2, p. 327-366
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| Subject: | Energy markets | Heath-Jarrow-Morton modelling | Nonharmonic Fourier analysis | Arbitrage-free approximations | Energiemarkt | Energy market | Optionspreistheorie | Option pricing theory | Zinsstruktur | Yield curve | Arbitrage Pricing | Arbitrage pricing | Derivat | Derivative | Volatilität | Volatility |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1007/s00780-018-0355-9 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011945791