Utility indifference pricing and hedging for structured contracts in energy markets
Giorgia Callegaro, Luciano Campi, Valeria Giusto, Tiziano Vargiolu
| Year of publication: |
April 2017
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|---|---|
| Authors: | Callegaro, Giorgia ; Campi, Luciano ; Giusto, Valeria ; Vargiolu, Tiziano |
| Published in: |
Mathematical methods of operations research. - Berlin : Springer, ISSN 1432-2994, ZDB-ID 1310695-8. - Vol. 85.2017, 2, p. 265-303
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| Subject: | Swing contract | Virtual storage contract | Utility indifference pricing | HJB equations | Viscosity solutions | Minimal entropy martingale measure | Hedging | Optionspreistheorie | Option pricing theory | Unvollkommener Markt | Incomplete market | Martingal | Martingale | Entropie | Entropy | Energiemarkt | Energy market | Vertrag | Contract |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1007/s00186-016-0569-6 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011714437