On the use of the moment-matching technique for pricing and hedging multi-asset spread options
Year of publication: |
2014
|
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Authors: | Pellegrino, Tommaso ; Sabino, Piergiacomo |
Published in: |
Energy economics. - Amsterdam : Elsevier, ISSN 0140-9883, ZDB-ID 795279-X. - Vol. 45.2014, p. 172-185
|
Subject: | Energy Derivatives | Spread Options | Moment-Matching | Energy Assets and Computational Finance | Optionspreistheorie | Option pricing theory | Hedging | Derivat | Derivative | Optionsgeschäft | Option trading | Energiemarkt | Energy market | Portfolio-Management | Portfolio selection |
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