A practical view on valuation of multi-exercise American style options in gas and electricity markets

DOI10.1007/978-3-642-25746-9_11zbMATH Open1247.91191OpenAlexW181023461MaRDI QIDQ2917439FDOQ2917439

Authors: Klaus Wiebauer 

Publication date: 28 September 2012

Published in: Springer Proceedings in Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-642-25746-9_11

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zbMATH Keywords

option pricingnumerical methodsswing optionsmulti-exercise optionsleast squares Monte Carloenergy derivatives

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Actuarial science and mathematical finance (91G99)

Cites Work

• The pricing of options and corporate liabilities
• A spot market model for pricing derivatives in electricity markets
• Numerical methods for the pricing of swing options: a stochastic control approach

Cited In (1)

• Short-Term Generation Asset Valuation: A Real Options Approach

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