Modeling and valuing make-up clauses in gas swing contracts
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DOI: 10.1016/j.eneco.2011.11.019
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Cited by:
- Dong, Wenfeng & Kang, Boda, 2019. "Analysis of a multiple year gas sales agreement with make-up, carry-forward and indexation," Energy Economics, Elsevier, vol. 79(C), pages 76-96.
- Giorgia Callegaro & Luciano Campi & Valeria Giusto & Tiziano Vargiolu, 2017.
"Utility indifference pricing and hedging for structured contracts in energy markets,"
Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 85(2), pages 265-303, April.
- Giorgia Callegaro & Luciano Campi & Valeria Giusto & Tiziano Vargiolu, 2014. "Utility indifference pricing and hedging for structured contracts in energy markets," Papers 1407.7725, arXiv.org, revised Feb 2016.
- Callegaro, Giorgia & Campi, Luciano & Giusto, Valeria & Vargiolu, Tiziano, 2017. "Utility indifference pricing and hedging for structured contracts in energy markets," LSE Research Online Documents on Economics 68953, London School of Economics and Political Science, LSE Library.
- Marcus Eriksson & Jukka Lempa & Trygve Nilssen, 2014.
"Swing options in commodity markets: a multidimensional Lévy diffusion model,"
Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 79(1), pages 31-67, February.
- Marcus Eriksson & Jukka Lempa & Trygve Kastberg Nilssen, 2013. "Swing options in commodity markets: A multidimensional L\'evy diffusion model," Papers 1302.6399, arXiv.org.
- Carl Chiarella & Les Clewlow & Boda Kang, 2016.
"The Evaluation Of Multiple Year Gas Sales Agreement With Regime Switching,"
International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 19(01), pages 1-25, February.
- Carl Chiarella & Les Clewlow & Boda Kang, 2011. "The Evaluation of Multiple Year Gas Sales Agreement with Regime Switching," Research Paper Series 288, Quantitative Finance Research Centre, University of Technology, Sydney.
- M. Basei & A. Cesaroni & T. Vargiolu, 2013. "Optimal exercise of swing contracts in energy markets: an integral constrained stochastic optimal control problem," Papers 1307.1320, arXiv.org.
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More about this item
Keywords
Swing option; Price decoupling; Make-up clause; Dynamic programming; Bang-bang controls;All these keywords.
JEL classification:
- C61 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Optimization Techniques; Programming Models; Dynamic Analysis
- C63 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Computational Techniques
- D81 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Criteria for Decision-Making under Risk and Uncertainty
- Q49 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - Other
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