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Natural Gas Storage Valuation and Optimisation Under Time-Inhomogeneous Exponential Lévy Processes
Safarov, Nemat - 2016
We analyse a stochastic control problem for the valuation of a natural gas storage facility while taking into account operating characteristics. The underlying natural gas spot price dynamics is assumed to follow time-inhomogeneous exponential Lévy process by F.E. Benth and C. Sgarra. This...
Persistent link: https://www.econbiz.de/10013004738
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Pricing a European basket option in the presence of proportional transaction costs
Atkinson, Colin; Alexandropoulos, C. A. - In: Applied mathematical finance 13 (2006) 3, pp. 191-214
Persistent link: https://www.econbiz.de/10003383647
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The effect of correlation and transaction costs on the pricing of basket options
Atkinson, Colin; Ingpochai, P. - In: Applied mathematical finance 19 (2012) 1/2, pp. 131-179
Persistent link: https://www.econbiz.de/10009561237
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A possible way of estimating options with stable distributed underlying asset prices
Tsibiridi, C.; Atkinson, Colin - In: Applied mathematical finance 11 (2004) 1, pp. 51-75
Persistent link: https://www.econbiz.de/10002001538