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15-104/VI - Asset Pricing in Incomplete Markets: Valuing Gas Storage Capacity

  • Authors
    Lin Zhao, University of Amsterdam, the Netherlands; Sweder van Wijnbergen, University of Amsterdam, the Netherlands
  • Publication date
    August 28, 2015
  • Keywords
    stochastic volatility, Generalised Autoregressive Score modeling, incomplete markets, real options, utility indifference pricing, gas storage, capacity constraints
  • JEL
    C61, C63, G12, G13, Q41