Pricing of Gas Swing Options using Monte Carlo Methods
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Keywordsenergy markets; gas sales agreement; gas swing option; Monte Carlo simulations; spread option pricing;
- C63 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Computational Techniques
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2011-05-30 (All new papers)
- NEP-CMP-2011-05-30 (Computational Economics)
- NEP-ENE-2011-05-30 (Energy Economics)
- NEP-ORE-2011-05-30 (Operations Research)
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