Pricing Energy Spread Options
Author:
Publisher
John Wiley & Sons, Ltd
Link
http://onlinelibrary.wiley.com/wol1/doi/10.1002/9781119011590.ch17/fullpdf
Reference18 articles.
1. Benth , F.E. Koekebakker , S. 2008 Stochastic modeling of financial electricity contracts, Energy Economics , 30 (3), 1116-1157
2. Benth , F.E. Šaltytė Benth , J. 2006 Analytical approximation for the price dynamics of spark spread options, Studies in Nonlinear Dynamics and Economics , 10 (3), article 8 http://www.bepress.com/snde/vol10/iss3/art8
3. Benth , F.E. Šaltytė Benth , J. Koekebakker , S. 2008 Stochastic Modelling of Electricity and Related Markets , World Scientific, in Singapore
4. Benth , F.E. Lange , N. Myklebust , T.Å. 2012 Pricing and hedging quanto options in energy markets, Available at SSRN: http://ssrn.com/abstract=2133935 or http://dx.doi.org/10.2139/ssrn.2133935
5. Bjerksund , P. Stensland , G. 2006 Closed form spread option valuation, NHH Department of Finance and Management Science, Discussion Paper No. 2006/20. Available at SSRN: http://dx.doi.org/10.2139/ssrn.1145206
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