Semianalytical pricing and hedging of fixed and indexed energy swing contracts
Year of publication: |
2018
|
---|---|
Authors: | Berger, Benjamin ; Dietrich, Martin ; Döttling, Rainer ; Heider, Pascal ; Spanderen, Klaus |
Published in: |
The journal of energy markets. - London : Infopro Digital, ISSN 1756-3607, ZDB-ID 2428804-4. - Vol. 11.2018, 4, p. 1-26
|
Subject: | energy swing contracts | fixed-price swing | indexed swing | decomposition method | time-spread optionality | Hedging | Energiemarkt | Energy market | Optionspreistheorie | Option pricing theory |
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