Energy Options in an HJM Framework

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dc.contributor.author	Lyse Hansen, Thomas	en_US
dc.contributor.author	Astrup Jensen, Bjarne	en_US
dc.date.accessioned	2009-02-04T10:26:20Z
dc.date.available	2009-02-04T10:26:20Z
dc.date.issued	2005-01-10T00:00:00Z	en_US
dc.identifier.uri	http://hdl.handle.net/10398/7185
dc.description.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.	en_US
dc.format.extent	38 s.	en_US
dc.language	eng	en_US
dc.relation.ispartofseries	Working paper;2004-010	en_US
dc.subject.other	kep	en_US
dc.title	Energy Options in an HJM Framework	en_US
dc.type	wp	en_US
dc.accessionstatus	modt05jan10 miel	en_US
dc.contributor.corporation	Copenhagen Business School. CBS	en_US
dc.contributor.department	Institut for Finansiering	en_US
dc.contributor.departmentshort	FI	en_US
dc.contributor.departmentuk	Department of Finance	en_US
dc.contributor.departmentukshort	FI	en_US
dc.idnumber	x656455739	en_US
dc.publisher.city	København	en_US
dc.publisher.year	2004	en_US