Pricing an European gas storage facility using a continuous-time spot price model with GARCH diffusion
Year of publication: |
2010
|
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Authors: | Schlüter, Stephan ; Davison, Matt |
Publisher: |
Nürnberg : Friedrich-Alexander-Universität Erlangen-Nürnberg, Institut für Wirtschaftspolitik und Quantitative Wirtschaftsforschung (IWQW) |
Subject: | Erdgasvorkommen | Tanklager | Gaspreis | ARCH-Modell | Betriebliche Preispolitik | Dynamische Optimierung | Theorie | TTF gas price | GARCH diffusion | natural gas storage | dynamic computing |
Series: | IWQW Discussion Papers ; 02/2010 |
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Type of publication: | Book / Working Paper |
Type of publication (narrower categories): | Working Paper |
Language: | English |
Other identifiers: | 621625825 [GVK] hdl:10419/30184 [Handle] RePEc:zbw:iwqwdp:022010 [RePEc] |
Classification: | C31 - Cross-Sectional Models; Spatial Models ; C61 - Optimization Techniques; Programming Models; Dynamic Analysis |
Source: |
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Schlüter, Stephan, (2010)
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Schlüter, Stephan, (2010)
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