Essays about: "John Hedestig"

Found 1 essay containing the words John Hedestig.

  1. 1. Pricing and Hedging of Swing Options in the European Electricity and Gas Markets

    University essay from Lunds universitet/Matematisk statistik

    Author : John Hedestig; [2014]
    Keywords : Mathematics and Statistics;

    Abstract : 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