Energy Options in an HJM Framework

OPEN ARCHIVE

Union Jack
Dannebrog

Energy Options in an HJM Framework

Show full item record

Title: Energy Options in an HJM Framework
Author: Lyse Hansen, Thomas; Astrup Jensen, Bjarne
Abstract: It is a delicate matter to trade spot products and financial derivatives in energy markets. Op- posite to bond and stock markets, the underlying assets are real products and a significant part of the demand for them represents a real need for the products, which can only be substituted away with some difficulties or, in some cases, only in a prohibitively costly manner. This is particularly true in the spot market, where the demand is almost always met, but where the spot price processes can be quite different from the spot price processes conventionally used in the pricing of derivatives. This pattern of real demand is also the main reason for the existence of the well-known convenience yield in energy markets.
URI: http://hdl.handle.net/10398/7185
Date: 2005-01-10

Creative Commons License This work is licensed under a Creative Commons License.

Files Size Format View
endeligt_wp__2004_10_.pdf 356.8Kb PDF View/Open

This item appears in the following Collection(s)

Show full item record