Pricing energy quanto options in the framework of Markov-modulated additive processes
Fred E. Benth and Griselda Deelstra and Sinem Kozpınar
| Year of publication: |
2023
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|---|---|
| Authors: | Benth, Fred Espen ; Deelstra, Griselda ; Kozpınar, And Sinem |
| Published in: |
IMA journal of management mathematics. - Oxford : Univ. Press, ISSN 1471-6798, ZDB-ID 2045093-X. - Vol. 34.2023, 1, p. 187-220
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| Subject: | pricing | energy quanto options | regime-switching | additive processes | futures | Optionspreistheorie | Option pricing theory | Energiepreis | Energy price | Volatilität | Volatility | Stochastischer Prozess | Stochastic process | Energiemarkt | Energy market |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1093/imaman/dpab032 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10013541856