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- W2950350022 abstract "Consider the problem of pricing options on forwards in energy markets, when spot prices follow a geometric multi-factor model in which several rates of mean reversion appear. In this paper we investigate the role played by slow mean reversion when pricing and hedging options. In particular, we determine both upper and lower bounds for the error one makes neglecting low rates of mean reversion in the spot price dynamics." @default.
- W2950350022 created "2019-06-27" @default.
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- W2950350022 date "2016-02-10" @default.
- W2950350022 modified "2023-09-27" @default.
- W2950350022 title "Pricing options on forwards in energy markets: the role of mean reversion's speed" @default.
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- W2950350022 hasPublicationYear "2016" @default.
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