Essays about: "Patricia Deyna"

Found 1 essay containing the words Patricia Deyna.

  1. 1. Pricing Options on the Nordic Power Exchange Nord Pool

    University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Author : Patricia Deyna; Maria Hultström; [2007]
    Keywords : Options; Forwards; Black 76; Nord Pool; Volatility;

    Abstract : This thesis studies the options traded at the Nordic power market Nord Pool, which are written on yearly and quarterly forward contracts. The most widely used pricing model at the market is Black 76, a model that assumes the option’s underlying variable to be log-normally distributed, and volatility to be constant over time. READ MORE