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Semianalytical pricing and hed...
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1
Pricing options on forwards in energy markets : the role of mean reversion's speed
Schmeck, Maren Diane
- In:
International journal of theoretical and applied finance
19
(
2016
)
8
,
pp. 1-26
Persistent link: https://www.econbiz.de/10011686772
Saved in:
2
Pricing and
hedging
Asian-style options on energy
Benth, Fred Espen
;
Detering, Nils
- In:
Finance and stochastics
19
(
2015
)
4
,
pp. 849-889
Persistent link: https://www.econbiz.de/10011421055
Saved in:
3
Pricing and
hedging
of energy spread options and volatility modulated Volterra processes
Benth, Fred Espen
;
Zdanowicz, Hanna
- In:
International journal of theoretical and applied finance
19
(
2016
)
1
,
pp. 1-22
Persistent link: https://www.econbiz.de/10011453780
Saved in:
4
Utility indifference pricing and
hedging
for structured contracts in energy markets
Callegaro, Giorgia
;
Campi, Luciano
;
Giusto, Valeria
; …
- In:
Mathematical methods of operations research
85
(
2017
)
2
,
pp. 265-303
Persistent link: https://www.econbiz.de/10011714437
Saved in:
5
Variance optimal
hedging
with application to electricity markets
Warin, Xavier
- In:
The journal of computational finance
23
(
2019
)
3
,
pp. 33-59
Persistent link: https://www.econbiz.de/10012162373
Saved in:
6
New proxy schemes for swing contracts
Koster, Frank
;
Oeltz, Daniel
;
Steffens, Angelina
- In:
The journal of energy markets
16
(
2023
)
4
,
pp. 15-30
Persistent link: https://www.econbiz.de/10014556497
Saved in:
7
Valuation of spark-spread option written on electricity and gas forward contracts under two-factor models with non-Gaussian Lévy processes
Mehrdoust, Farshid
;
Noorani, Idin
- In:
Computational economics
61
(
2023
)
2
,
pp. 807-853
Persistent link: https://www.econbiz.de/10014228463
Saved in:
8
Modeling and valuation of energy structures : analylsis., econometrics, and numerics
Mahoney, Daniel
-
2016
Persistent link: https://www.econbiz.de/10011399615
Saved in:
9
Gas swing options : introduction and pricing using Monte Carlo methods
Klimešová, Andrea
;
Václavík, Tomáš
- In:
Acta oeconomica Pragensia : vědecký časopis Vysoke …
24
(
2016
)
1
,
pp. 15-32
Persistent link: https://www.econbiz.de/10011456218
Saved in:
10
Electricity price modelling with stochastic volatility and jumps : an empirical investigation
Gudkov, Nikolay
;
Ignatieva, Ekaterina
- In:
Energy economics
98
(
2021
),
pp. 1-26
Persistent link: https://www.econbiz.de/10012873255
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