Blar i AURA på forfatter "Eriksson, Marcus"
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Swing options in commodity markets: a multidimensional Lévy diffusion model
Eriksson, Marcus; Lempa, Jukka; Nilssen, Trygve Kastberg (Journal article; Peer reviewed, 2013)We study valuation of swing options on commodity markets when the commodity prices are driven by multiple factors. The factors are modeled as diffusion processes driven by a multidimensional Lévy process. We set up a ...