Pricing and hedging Asian-style options on energy
نویسندگان
چکیده
منابع مشابه
Pricing and hedging Asian-style options on energy
We solve the problem of pricing and hedging Asian-style options on energy with a quadratic risk criterion when trading in the underlying future is restricted. Liquid trading in the future is only possible up to the start of a so-called delivery period. After the start of the delivery period, the hedge positions can not be adjusted anymore until maturity. This reflects the trading situation at t...
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ژورنال
عنوان ژورنال: Finance and Stochastics
سال: 2015
ISSN: 0949-2984,1432-1122
DOI: 10.1007/s00780-015-0270-2