Pricing and risk of swing contracts in natural gas markets

DOI10.1007/s11147-018-9146-xzbMath1414.91380OpenAlexW2808826115MaRDI QIDQ2418428

Hendrik Kohrs, Benjamin R. Auer, Frank Schuhmacher, Hermann Mühlichen

Publication date: 3 June 2019

Published in: Review of Derivatives Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11147-018-9146-x

zbMATH Keywords

gammasimulationnatural gasdeltaswing optionsforward curve dynamics

Mathematics Subject Classification ID

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

Uses Software

• bootstrap

Cites Work

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