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Total Posts: 158
Joined: Feb 2011
Posted: 2017-06-05 08:16
Remarkably, many market players in energy market still cannot calculate the fair value of a gas storage. In particular, many of them rely on perfect foresight. We put online a simple but correct model from QuantLib. Confidence intervals are estimated as well. - Knowledge rather than Hope: A Book for Retail Investors and Mathematical Finance Students
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