Valuation of spark-spread option written on electricity and gas forward contracts under two-factor models with non-Gaussian Lévy processes
Year of publication: |
2023
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Authors: | Mehrdoust, Farshid ; Noorani, Idin |
Published in: |
Computational economics. - Dordrecht [u.a.] : Springer Science + Business Media B.V., ISSN 1572-9974, ZDB-ID 1477445-8. - Vol. 61.2023, 2, p. 807-853
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Subject: | Energy markets | Forward price | Hedging | Lévy process | Spark-spread option | Stochastischer Prozess | Stochastic process | Optionspreistheorie | Option pricing theory | Derivat | Derivative | Energiemarkt | Energy market | Volatilität | Volatility |
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