Energy Options in an HJM Framework

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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


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