Valuation of Commodity-Based Swing Options
Year of publication: |
2004
|
---|---|
Authors: | Jaillet, Patrick ; Ronn, Ehud I. ; Tompaidis, Stathis |
Published in: |
Management Science. - Institute for Operations Research and the Management Sciences - INFORMS, ISSN 0025-1909. - Vol. 50.2004, 7, p. 909-921
|
Publisher: |
Institute for Operations Research and the Management Sciences - INFORMS |
Subject: | energy prices | seasonality | one-factor model | numerical valuations | dynamic programming | binomial forest |
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