Pricing energy quanto options in the framework of Markov-modulated additive processes

DOI10.1093/IMAMAN/DPAB032OpenAlexW3200668141MaRDI QIDQ5877567

and Sinem Kozpınar, Fred Espen Benth, Griselda Deelstra

Publication date: 14 February 2023

Published in: IMA Journal of Management Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1093/imaman/dpab032

zbMATH Keywords

additive processesfuturespricingregime-switchingenergy quanto options

Mathematics Subject Classification ID

Operations research, mathematical programming (90-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)

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