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Evaluating Asian Options on Electricity Futures Using a Two-Factor Mean Reverting Model & Modified Boxcox Transformation
Evaluating Asian Options on Electricity Futures Using a Two-Factor Mean Reverting Model & Modified Boxcox Transformation
2007
Alain Galli
Margaret Armstrong
Ridhima Tewary
Zaizhi Wang
Keywords:
Asian option
Financial economics
Futures contract
Mean reversion
Economics
Electricity
Correction
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