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The normal inverse gaussian distribution and spot price modelling in energy markets
Benth, Fred Espen; Šaltytė-Benth, Jūratė - In: International journal of theoretical and applied finance 7 (2004) 2, pp. 177-192
Persistent link: https://www.econbiz.de/10002021511
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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
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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
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Pricing of exotic energy derivatives based on arithmetic spot models
Benth, Fred Espen; Kufakunesu, Rodwell - In: International journal of theoretical and applied finance 12 (2009) 4, pp. 491-506
Persistent link: https://www.econbiz.de/10003879078
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When are swing options bang-bang?
Bardou, Olivier; Bouthemy, Sandrine; Pagès, Gilles - In: International journal of theoretical and applied finance 13 (2010) 6, pp. 867-899
Persistent link: https://www.econbiz.de/10008905111
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Quasi Monte-Carlo evaluation of sensitivities of options in commodity and energy markets
Benth, Fred Espen; Dahl, Lars O.; Hvistendahl Karlsen, … - In: International journal of theoretical and applied finance 6 (2003) 8, pp. 865-884
Persistent link: https://www.econbiz.de/10001862191
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Local risk-minimization with multiple assets under illiquidity with applications in energy markets
Christodoulou, Panagiotis; Detering, Nils; … - In: International journal of theoretical and applied finance 21 (2018) 4, pp. 1-44
Persistent link: https://www.econbiz.de/10011891849
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Scenarios for price determination in incomplete markets
Xanthopoulos, S. Z.; Yannacopoulos, Athanasios N. - In: International journal of theoretical and applied finance 11 (2008) 5, pp. 415-445
Persistent link: https://www.econbiz.de/10003759930
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Energy spot price models and spread options pricing
Hikspoors, Samuel; Jaimungal, Sebastian - In: International journal of theoretical and applied finance 10 (2007) 7, pp. 1111-1135
Persistent link: https://www.econbiz.de/10003632058
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Financial signal processing : a self calibrating model
Elliott, Robert J.; Hunter, William Curt; Jamieson, … - In: International journal of theoretical and applied finance 4 (2001) 4, pp. 567-584
Persistent link: https://www.econbiz.de/10001600343