Blar i NHH Brage på tidsskrift "Energy Systems"

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    • The Perpetual American Put Option for Jump-Diffusions 

      Aase, Knut K. (Journal article; Peer reviewed, 2010)
      We solve a specific optimal stopping problem with an infinite time horizon, when the state variable follows a jump-diffusion. The novelty of the paper is related to the inclusion of a jump component in this stochastic ...

    • Valuation and Risk Management in the Norwegian Electricity Market 

      Bjerksund, Petter; Rasmussen, Heine; Stensland, Gunnar (Journal article; Peer reviewed, 2010)
      The purpose of this paper is twofold: Firstly, we analyse the option value approximation of traded options in the presence of a volatility term structure. The options are identified as: (a) “European” (written on the forward ...