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    • Swing options in commodity markets: A multidimensional Lévy diffusion model 

      Eriksson, Marcus; Lempa, Jukka; Nilssen, Trygve Kastberg (Springer, 2013-08-29)
      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 ...