Valuation of spark-spread option written on electricity and gas forward contracts under two-factor models with non-Gaussian Lévy processes
Farshid Mehrdoust, Idin Noorani
| Year of publication: |
2023
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|---|---|
| Authors: | Mehrdoust, Farshid ; Noorani, Idin |
| Published in: |
Computational economics. - Dordrecht [u.a.] : Springer Science + Business Media B.V., ISSN 1572-9974, ZDB-ID 1477445-8. - Vol. 61.2023, 2, p. 807-853
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| Subject: | Energy markets | Forward price | Hedging | Lévy process | Spark-spread option | Optionspreistheorie | Option pricing theory | Stochastischer Prozess | Stochastic process | Derivat | Derivative | Energiemarkt | Energy market | Optionsgeschäft | Option trading | Elektrizitätswirtschaft | Electric power industry | Strompreis | Electricity price | Volatilität | Volatility |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1007/s10614-021-10232-4 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014228463