UK Gas Markets: the Market Price of Risk and Applications to Multiple Interruptible Supply Contracts
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- Cartea, Álvaro & Williams, Thomas, 2008. "UK gas markets: The market price of risk and applications to multiple interruptible supply contracts," Energy Economics, Elsevier, vol. 30(3), pages 829-846, May.
References listed on IDEAS
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More about this item
KeywordsInterruptible supply contracts; gas markets; commodities; market price of short-term and long-term risk; multi-exercise Bermudan options; convenience yield.;
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- C61 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Optimization Techniques; Programming Models; Dynamic Analysis
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