Utility indifference pricing and hedging for structured contracts in energy markets (Q2014372)
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scientific article
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| English | 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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