ENERGY SPOT PRICE MODELS AND SPREAD OPTIONS PRICING
نویسندگان
چکیده
منابع مشابه
Pricing and Hedging Spread Options
We survey the theoretical and the computational problems associated with the pricing of spread options. These options are ubiquitous in the financial markets, whether they be equity, fixed income, foreign exchange, commodities, or energy markets. As a matter of introduction, we present a general overview of the common features of all the spread options by discussing in detail their roles as spe...
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Abstract In this paper we consider the problem of pricing a general Asian basket spread option. We develop approximations formulae based on comonotonicity theory and moment matching methods. We compare their relative performances and explain how to choose the best approximation technique as a function of the Asian basket spread characteristics. We also give the Greeks for our proposed methods. ...
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Advertisement (ad) options have been recently studied as a novel guaranteed delivery (GD) system in online advertising. In essence, an ad option is a contract that gives an advertiser a right but not obligation to enter into transactions to purchase ad inventories such as page views or link clicks from a specific slot at one or multiple pre-specified prices in a specific future period. Compared...
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ژورنال
عنوان ژورنال: International Journal of Theoretical and Applied Finance
سال: 2007
ISSN: 0219-0249,1793-6322
DOI: 10.1142/s0219024907004573