Semianalytical pricing and hedging of fixed and indexed energy swing contracts
Benjamin Berger, Martin Dietrich, Rainer Döttling, Pascal Heider and Klaus Spanderen
| 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
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| Subject: | energy swing contracts | fixed-price swing | indexed swing | decomposition method | time-spread optionality | Hedging | Optionspreistheorie | Option pricing theory | Energiemarkt | Energy market | Aktienindex | Stock index | Dekompositionsverfahren | Decomposition method | Optionsgeschäft | Option trading | Index | Index number |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.21314/JEM.2018.177 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://ebvufind01.dmz1.zbw.eu/10012001968