Hedging Swing contract on gas markets
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- Marie Bernhart & Peter Tankov & Xavier Warin, 2010.
"A finite dimensional approximation for pricing moving average options,"
Papers
1011.3599, arXiv.org.
- Marie Bernhart & Peter Tankov & Xavier Warin, 2010. "A finite dimensional approximation for pricing moving average options," Working Papers hal-00554216, HAL.
- repec:dau:papers:123456789/4273 is not listed on IDEAS
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Cited by:
- Ludovic Gouden`ege & Andrea Molent & Antonino Zanette, 2021. "Moving average options: Machine Learning and Gauss-Hermite quadrature for a double non-Markovian problem," Papers 2108.11141, arXiv.org.
- Hendrik Kohrs & Hermann Mühlichen & Benjamin R. Auer & Frank Schuhmacher, 2019. "Pricing and risk of swing contracts in natural gas markets," Review of Derivatives Research, Springer, vol. 22(1), pages 77-167, April.
- Goudenège, Ludovic & Molent, Andrea & Zanette, Antonino, 2022. "Moving average options: Machine learning and Gauss-Hermite quadrature for a double non-Markovian problem," European Journal of Operational Research, Elsevier, vol. 303(2), pages 958-974.
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This paper has been announced in the following NEP Reports:- NEP-ENE-2012-09-03 (Energy Economics)
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