Pricing and hedging illiquid energy derivatives : an application to the JCC index
Year of publication: |
2008
|
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Authors: | Scarpa, Elisa ; Manera, Matteo |
Published in: |
The journal of futures markets. - Hoboken, NJ : Wiley-Blackwell, ISSN 0270-7314, ZDB-ID 395139-X. - Vol. 28.2008, 5, p. 464-487
|
Subject: | Rohstoffderivat | Commodity derivative | Erdöl | Petroleum | Hedging | Geld-Brief-Spanne | Bid-ask spread | Optionspreistheorie | Option pricing theory | Japan | 2000-2006 |
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