A Practical View on Valuation of Multi-Exercise American Style Options in Gas and Electricity Markets (Q2917439)
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scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A Practical View on Valuation of Multi-Exercise American Style Options in Gas and Electricity Markets |
scientific article |
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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