scientific article; zbMATH DE number 5499145

MaRDI QIDQ5506147zbMATH OpenFDO

Authors S. Persad

Publication date 28 January 2009

zbMATH Keywords

correlated trinomial treeenergy optionslatticepath-dependent option pricingswing options

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60)

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(3)

• Pricing and risk of swing contracts in natural gas markets
• The evaluation of multiple year gas sales agreement with regime switching
• The evaluation of gas swing contracts with regime switching

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