Pricing swing options in electricity markets with two stochastic factors using a partial differential equation approach

Pricing swing options in electricity markets with two stochastic factors using a partial differential equation approach

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Bibliographic Details
Published in:The journal of computational finance Vol. 20; no. 3
Main Authors: Calvo-Garrido, M, Ehrhardt, M, Vázquez, C
Format: Journal Article
Language:English
Published: 01-02-2017
Online Access:Get full text
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Description
ISSN:1460-1559
DOI:10.21314/JCF.2016.317