Gas Storage Hedging

DOI10.1007/978-3-642-25746-9_14zbMath1247.91203MaRDI QIDQ2917445

Xavier Warin

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_14

zbMATH Keywords

Monte Carlo; dynamic hedging; gas storage

Mathematics Subject Classification ID

91G60: Numerical methods (including Monte Carlo methods)

91G99: Actuarial science and mathematical finance

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