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Asian option
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Derivatives pricing
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Electricity price modeling
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Market price of risk
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Weron, Rafal
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Centrum voor Economische Studiën, Faculteit Economie en Bedrijfswetenschappen
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Sonderforschungsbereich 649: Ökonomisches Risiko, Wirtschaftswissenschaftliche Fakultät
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Center for Intergenerational Studies, Institute of Economic Research
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Sonderforschungsbereich 373, Quantifikation und Simulation ökonomischer Prozesse, Wirtschaftswissenschaftliche Fakultät
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Market
price
of
risk
implied by Asian-style electricity options
Weron, Rafal
-
EconWPA
-
2005
dynamics, including seasonality, mean reversion, and spiky behavior. Calibration of the market
price
of
risk
allows for pricing …
Persistent link: https://www.econbiz.de/10005119166
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