New proxy schemes for swing contracts
Year of publication: |
2023
|
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Authors: | Koster, Frank ; Oeltz, Daniel ; Steffens, Angelina |
Published in: |
The journal of energy markets. - London : Infopro Digital, ISSN 1756-3615, ZDB-ID 2466316-5. - Vol. 16.2023, 4, p. 15-30
|
Subject: | swing options | energy markets | constrained optimization | derivative pricing | numeri-cal approximation | risk management | Derivat | Derivative | Energiemarkt | Energy market | Optionspreistheorie | Option pricing theory | Hedging | Risikomanagement | Risk management | Optionsgeschäft | Option trading | Stochastischer Prozess | Stochastic process | Nichtlineare Optimierung | Nonlinear programming |
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