Pricing energy quanto options in the framework of Markov-modulated additive processes
Year of publication: |
2023
|
---|---|
Authors: | Benth, Fred Espen ; Deelstra, Griselda ; Kozpınar, And Sinem |
Published in: |
IMA journal of management mathematics. - Oxford : Univ. Press, ISSN 1471-6798, ZDB-ID 2045093-X. - Vol. 34.2023, 1, p. 187-220
|
Subject: | pricing | energy quanto options | regime-switching | additive processes | futures |
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