A practical view on valuation of multi-exercise American style options in gas and electricity markets (Q2917439)
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scientific article; zbMATH DE number 6088206
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| English | A practical view on valuation of multi-exercise American style options in gas and electricity markets |
scientific article; zbMATH DE number 6088206 |
Statements
A Practical View on Valuation of Multi-Exercise American Style Options in Gas and Electricity Markets (English)
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28 September 2012
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option pricing
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multi-exercise options
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swing options
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least squares Monte Carlo
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energy derivatives
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numerical methods
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0.7398276925086975
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0.7398234009742737
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0.7388966679573059
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0.7270443439483643
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0.7248396277427673
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