Affine-structure models and the pricing of energy commodity derivatives
Ioannis Kyriakou, Nikos K. Nomikos, Nikos C. Papapostolou and Panos K. Pouliasis
| Year of publication: |
November 2016
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|---|---|
| Authors: | Kyriakou, Ioannis ; Nomikos, Nikos K. ; Papapostolou, Nikos C. ; Pouliasis, Panos K. |
| Published in: |
European financial management : the journal of the European Financial Management Association. - Oxford : Wiley-Blackwell, ISSN 1354-7798, ZDB-ID 1235378-4. - Vol. 22.2016, 5, p. 853-881
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| Subject: | energy prices | affine models | futures | arithmetic Asian options | control variate Monte Carlo | Derivat | Derivative | Optionspreistheorie | Option pricing theory | Energiepreis | Energy price | Energiemarkt | Energy market | Optionsgeschäft | Option trading | Rohstoffderivat | Commodity derivative | Monte-Carlo-Simulation | Monte Carlo simulation |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1111/eufm.12071 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011713164