The evaluation of multiple year gas sales agreement with regime switching
Carl Chiarella (Finance Discipline Group, UTS Business School, University of Technology, Sydney, Australia), Les Clewlow (Lacima Group, Level 32, Sydney, NSW, Australia), Boda Kang (Department of Mathematics, University of York, York, United Kingdom)
| Year of publication: |
February 2016
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|---|---|
| Authors: | Chiarella, Carl ; Clewlow, Les ; Kang, Boda |
| Published in: |
International journal of theoretical and applied finance. - River Edge, NJ [u.a.] : World Scientific, ISSN 0219-0249, ZDB-ID 1428982-9. - Vol. 19.2016, 1, p. 1-25
|
| Subject: | Gas sales agreement | swing contract | take-or-pay | make-up | carry forward | forward price curve | regime switching volatility | recombining pentanomial tree | Stochastischer Prozess | Stochastic process | Rohstoffderivat | Commodity derivative | Volatilität | Volatility | Portfolio-Management | Portfolio selection | Theorie | Theory |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1142/S0219024916500059 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011453874