Analytical Approximation for the Price Dynamics of Spark Spread Options

DOI10.2202/1558-3708.1355zbMath1260.91256OpenAlexW2030158360MaRDI QIDQ5452750

Jūratė Šaltytė Benth, Fred Espen Benth

Publication date: 4 April 2008

Published in: Studies in Nonlinear Dynamics & Econometrics (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/10852/10571

Mathematics Subject Classification ID

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

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