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

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. The results is a lower bound derived from the price of forwards

Sophia Zisakou

Doktorand Kontaktinformation E-post: sophia [dot] zisakou [at] soclaw [dot] lu [dot] seOrganisation Rättssociologiska institutionen Hämtställe: 31 WebbplatsSophia Zisakous profil i Lunds universitets forskningsportalForskningsområdenGenusSexualitetMigrationPågående forskningMin forskning fokuserar på trovärdighetsbedömning i Greklands asylprocess då HBTQ-personer ansökt om asyl. För att beviljas a

https://www.soclaw.lu.se/sophia-zisakou - 2025-03-09