Valuation of Commodity-Based Swing Options
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References listed on IDEAS
- Eduardo Schwartz & James E. Smith, 2000. "Short-Term Variations and Long-Term Dynamics in Commodity Prices," Management Science, INFORMS, vol. 46(7), pages 893-911, July.
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More about this item
Keywordsenergy prices; seasonality; one-factor model; numerical valuations; dynamic programming; binomial forest;
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