Modeling electricity prices: jump diffusion and regime switching
✍ Scribed by R Weron; M Bierbrauer; S Trück
- Publisher
- Elsevier Science
- Year
- 2004
- Tongue
- English
- Weight
- 238 KB
- Volume
- 336
- Category
- Article
- ISSN
- 0378-4371
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📜 SIMILAR VOLUMES
## Abstract A way to estimate the value of an American exchange option when the underlying assets follow jump‐diffusion processes is presented. The estimate is based on combining a European exchange option and a Bermudan exchange option with two exercise dates by using Richardson extrapolation as p
This work develops numerical approximation methods for quantile hedging involving mortality components for contingent claims in incomplete markets, in which guaranteed minimum death benefits (GMDBs) could not be perfectly hedged. A regime-switching jump-diffusion model is used to delineate the dynam