On the use of the moment-matching technique for pricing and hedging multi-asset spread options
Tommaso Pellegrino; Piergiacomo Sabino
| Year of publication: |
2014
|
|---|---|
| Authors: | Pellegrino, Tommaso ; Sabino, Piergiacomo |
| Published in: |
Energy economics. - Amsterdam : Elsevier, ISSN 0140-9883, ZDB-ID 795279-X. - Vol. 45.2014, p. 172-185
|
| Subject: | Energy Derivatives | Spread Options | Moment-Matching | Energy Assets and Computational Finance | Hedging | Optionspreistheorie | Option pricing theory | Derivat | Derivative | Optionsgeschäft | Option trading | Energiemarkt | Energy market | Portfolio-Management | Portfolio selection |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10010504771