Global ETD Search
Search theses and dissertations gathered from participating repositories worldwide. Every result links back to the library that holds it. No account is needed.
Results
Showing 1 to 4 of 4 for “"swing options"”.
-
Pricing of Swing Options: A Monte Carlo Simulation Approach
We study the problem of pricing swing options, a class of multiple early exercise options that are traded in energy market, particularly in the electricity and natural gas markets. These contracts permit the option holder to periodically exercise the right to trade a variable amount of energy with …
-
Mathematical Models For Swing Options And Subprime Mortgage Derivatives.
… of contract in the commodity market known as swing or take-or-pay options. These contracts are American type options where the holder has multiple exercise rights. The goal is to find the optimal consumption process for the underlying commodity. We present a pricing methodology using the …
-
Ambiguity Aversion in Commodity Markets
… for valuation and hedging. Most exotic financial options written on commodities are valued by discretizing continuous-time and state models. Thus, in the first part of this thesis, we study the impact of ambiguity aversion in discrete-time and state using trinomial trees. We develop a general …
-
Modelling electricity price risk for the valuation of power contingent claims : the case of Nord Pool
… of hedging using derivatives such as futures and options and therefore brought the issue of pricing these derivatives into focus. However the traditional approaches for the pricing of derivatives are not applicable to electricity due to the unique features of the power market such as the fact that …