Utility indifference pricing and hedging for structured contracts in energy markets (Q2014372): Difference between revisions

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Latest revision as of 06:51, 13 November 2024

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Utility indifference pricing and hedging for structured contracts in energy markets
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    Utility indifference pricing and hedging for structured contracts in energy markets (English)
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    11 August 2017
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    swing contract
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    virtual storage contract
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    utility indifference pricing
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    HJB equations
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    viscosity solutions
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    minimal entropy martingale measure
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