Utility indifference pricing and hedging for structured contracts in energy markets (Q2014372): Difference between revisions
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scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Utility indifference pricing and hedging for structured contracts in energy markets |
scientific article |
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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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