Sökning: "Ella Zackrisson"

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  1. 1. Evaluation of Hedging Strategies of Asian Options on Electricity at Nord Pool

    Master-uppsats, KTH/Matematisk statistik

    Författare :Ella Zackrisson; [2015]
    Nyckelord :Hedging strategies; Asian Options; Electricity;

    Sammanfattning : This thesis empirically evaluates a geometric Brownian motion and a stochastic volatility model for modeling futures prices and hedging Asian call options on the electricity spot price. Estimation of parameters for the models is done based on historical futures prices of futures contracts with a one month delivery period using nonlinear regression and Maximum Likelihood techniques. LÄS MER