Browsing Discussion papers (FOR) by Author "Rasmussen, Heine"
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Valuation and risk management in the Norwegian electricity market
Bjerksund, Petter; Rasmussen, Heine; Stensland, Gunnar (Discussion paper, Working paper, 2000)The purpose of this paper is two-fold: Firstly, we analyze option value approximation of traded options in the presence of a volatility term structure. The options are identified as: "European" (written on the forward price ...