Partial Differential Equation Methods to Price Options in the Energy Market
We develop partial differential equation methods with well-posed boundary conditions to price average strike options and swing options in the energy market. We use the energy method to develop boundary conditions that make a two space variable model of Asian options well-posed on a finite domain. To...
| Other Authors: | |
|---|---|
| Format: | Others |
| Language: | English English |
| Published: |
Florida State University
|
| Subjects: | |
| Online Access: | http://purl.flvc.org/fsu/fd/FSU_migr_etd-7673 |