Modelling spikes and pricing swing options in electricity markets
Year of publication: |
2009
|
---|---|
Authors: | Hambly, Ben ; Howison, Sam ; Kluge, Tino |
Published in: |
Quantitative Finance. - Taylor & Francis Journals, ISSN 1469-7688. - Vol. 9.2009, 8, p. 937-949
|
Publisher: |
Taylor & Francis Journals |
Subject: | Energy derivatives | Financial mathematics | Stochastic jumps | Numerical methods for option pricing | Continuous time models | Derivative pricing models |
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