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Volumn 10, Issue 7, 2007, Pages 1111-1135

Energy spot price models and spread options pricing

Author keywords

Energy markets; Multi factor jump diffusions; Spread options; Transform methods

Indexed keywords


EID: 36549009038     PISSN: 02190249     EISSN: None     Source Type: Journal    
DOI: 10.1142/S0219024907004573     Document Type: Article
Times cited : (29)

References (15)
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    • Stochastic processes of commodity prices: A particle filter approach
    • Preprint
    • F. Aiube, T. Baidya and E. Tito, Stochastic processes of commodity prices: a particle filter approach, Preprint (2005).
    • (2005)
    • Aiube, F.1    Baidya, T.2    Tito, E.3
  • 3
    • 1642461515 scopus 로고    scopus 로고
    • Pricing and hedging spread options
    • R. Carmona and V. Durrleman, Pricing and hedging spread options, SIAM Review 4 (2003) 627-685.
    • (2003) SIAM Review , vol.4 , pp. 627-685
    • Carmona, R.1    Durrleman, V.2
  • 4
  • 5
    • 29744463867 scopus 로고    scopus 로고
    • Pricing in electricity markets: A mean reverting jump diffusion model with seasonality
    • A. Cartea and M. Figueroa, Pricing in electricity markets: a mean reverting jump diffusion model with seasonality, Applied Mathematical Finance 22(4) (2005) 313-335.
    • (2005) Applied Mathematical Finance , vol.22 , Issue.4 , pp. 313-335
    • Cartea, A.1    Figueroa, M.2
  • 9
    • 0001668150 scopus 로고    scopus 로고
    • Transform analysis and asset pricing for affine jump-diffusions
    • D. Duffie, J. Pan and K. Singleton, Transform analysis and asset pricing for affine jump-diffusions, Econometrica 68 (2000) 1343-1376.
    • (2000) Econometrica , vol.68 , pp. 1343-1376
    • Duffie, D.1    Pan, J.2    Singleton, K.3
  • 11
    • 84977738249 scopus 로고
    • Stochastic convenience yield and the pricing of oil contingent claims
    • R. Gibson and E. Schwartz, Stochastic convenience yield and the pricing of oil contingent claims, The Journal of Finance 45 (1990) 959-976.
    • (1990) The Journal of Finance , vol.45 , pp. 959-976
    • Gibson, R.1    Schwartz, E.2
  • 12
    • 41649091143 scopus 로고
    • Martingales and stochastic integrals in the theory of continuous trading
    • J. Harrison and S. Pliska, Martingales and stochastic integrals in the theory of continuous trading, Stochastic Process. Appl. 11(1) (1981) 215-260.
    • (1981) Stochastic Process. Appl , vol.11 , Issue.1 , pp. 215-260
    • Harrison, J.1    Pliska, S.2
  • 14
    • 84977359121 scopus 로고
    • The value of an option to exchange one asset for another
    • W. Margrabe, The value of an option to exchange one asset for another, The Journal of Finance 33 (1978) 177-186.
    • (1978) The Journal of Finance , vol.33 , pp. 177-186
    • Margrabe, W.1


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.