On the use of the moment-matching technique for pricing and hedging multi-asset spread options
Year of publication: |
2014
|
---|---|
Authors: | Pellegrino, Tommaso ; Sabino, Piergiacomo |
Published in: |
Energy Economics. - Elsevier, ISSN 0140-9883. - Vol. 45.2014, C, p. 172-185
|
Publisher: |
Elsevier |
Subject: | Energy Derivatives | Spread Options | Moment-Matching | Energy Assets and Computational Finance |
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