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Pricing and risk of swing contracts in natural gas markets |
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| Authors: | Kohrs Hendrik Mühlichen Hermann Auer Benjamin R. Schuhmacher Frank |
| Affiliation: | 1.Department of Finance, University of Leipzig, Grimmaische Str. 12, 04109, Leipzig, Germany ;2.Risk Management/Quantitative Analysis, VNG Handel & Vertrieb GmbH, Braunstr. 7, 04347, Leipzig, Germany ;3.Research Network Area Macro, Money and International Finance, CESifo Munich, Schackstr. 4, 80539, Munich, Germany ; |
| Abstract: | Review of Derivatives Research - Motivated by the growing importance of swing contracts in natural gas markets, this article extends the literature on commodity price modelling as well as valuation... |
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