Swing options in commodity markets: a multidimensional Lévy diffusion model

Marcus Eriksson, Jukka Lempa, Trygve Kastberg Nilssen. Swing options in commodity markets: a multidimensional Lévy diffusion model. Math. Meth. of OR, 79(1):31-67, 2014. [doi]

Authors

Marcus Eriksson

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Jukka Lempa

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Trygve Kastberg Nilssen

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