Pricing options on forwards in energy markets : the role of mean reversion's speed
Maren Diane Schmeck
| Year of publication: |
December 2016
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|---|---|
| Authors: | Schmeck, Maren Diane |
| Published in: |
International journal of theoretical and applied finance. - River Edge, NJ [u.a.] : World Scientific, ISSN 0219-0249, ZDB-ID 1428982-9. - Vol. 19.2016, 8, p. 1-26
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| Subject: | Electricity spot prices | multi-scale mean reversion | jumps | stochastic volatility | delivery period | options on forwards | hedging | pricing error | upper and lower bounds | Volatilität | Volatility | Hedging | Optionspreistheorie | Option pricing theory | Stochastischer Prozess | Stochastic process | Derivat | Derivative | Strompreis | Electricity price | Energiemarkt | Energy market | Mean Reversion | Mean reversion | Spotmarkt | Spot market |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1142/S0219024916500539 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011686772