Essays about: "John Hedestig"
Found 1 essay containing the words John Hedestig.
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1. Pricing and Hedging of Swing Options in the European Electricity and Gas Markets
University essay from Lunds universitet/Matematisk statistikAbstract : This report outlines a method to price and hedge a generalized swing option based on the European natural gas and electricity markets. The method is model free in that is does not assume a certain spot price dynamics. It only requires a forward curve and European call options prices that cover the delivery period of the swing option. READ MORE
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