Browsing Discussion papers (FOR) by Author "Stensland, Gunnar"

Now showing items 1-7 of 7

    • Closed form spread option valuation 

      Bjerksund, Petter; Stensland, Gunnar (Discussion paper, Working paper, 2006-10)
      This paper considers the valuation of a spread call when asset prices are lognormal. The implicit strategy of the Kirk formula is to exercise if the price of the long asset exceeds a given power function of the price of ...

    • Closed form valuation of American options 

      Bjerksund, Petter; Stensland, Gunnar (Discussion paper, Working paper, 2002)
      This paper presents a simple and intuitive approximation of the American call and put value. The approximation generalizes the Bjerksund-Stensland model by dividing time to maturity into two periods, each with a flat early ...

    • Gas storage valuation : price modelling v. optimization methods 

      Bjerksund, Petter; Stensland, Gunnar; Vagstad, Frank (Discussion paper, Working paper, 2008-10)
      The existence of a financial gas market motivates the analysis of gas storage as a separate asset, using the market value context for utilization and valuation. In the recent literature, gas storage is typically analysed ...

    • How to extend the RiskMetrics market risk universe 

      Bjerksund, Petter; Stensland, Gunnar (Discussion paper, Working paper, 2002)
      RiskMetrics™ (RM) represents a framework for measuring market risk founded on the Value at Risk concept, and offer daily updated estimates of standard deviations and correlations of the assets within their market risk ...

    • Managing Flexible Load Contracts: Two simple strategies 

      Bjerksund, Petter; Myksvoll, Bjarte; Stensland, Gunnar (Discussion paper, Working paper, 2006-11)
      A flexible load contract is a type of swing option where the holder has the right to receive a given quantity of electricity within a specified period, at a fixed maximum effect (delivery rate). The contract is flexible, ...

    • Profitable Robot Strategies in Pari‐Mutuel Betting 

      Bjerksund, Petter; Stensland, Gunnar (Discussion paper;6/17, Working paper, 2017-04-07)
      We have collected odds and results from 7 474 horse races in Norway and Sweden for a period of approximately 1.5 years. Based on the odds from the win game, we construct a profitable betting strategy for the corresponding ...

    • 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 ...