Kjaer, Mats - In: Applied Mathematical Finance 15 (2008) 5-6, pp. 479-502
We investigate the pricing of swing options in a model where the logarithm of the spot price is the sum of a deterministic seasonal trend and an Ornstein-Uhlenbeck process driven by a jump diffusion. First we calibrate the model to Nord Pool electricity market data. Second, the existence of an...