magistrsko delo
Gregor Cigut (Author), Aleš Ahčan (Mentor)

Abstract

Vrednotenje opcij na urne produkte električne enrgije v okviru analize rentabilnosti plinskih elektrarn

Keywords

urna cena električne energije;proces z neodvisnimi prirastki;evropska nakupna opcija;Monte Carlo simulacije;

Data

Language: Slovenian
Year of publishing:
Typology: 2.09 - Master's Thesis
Organization: UL FMF - Faculty of Mathematics and Physics
Publisher: [G. Cigüt]
UDC: 519.21
COBISS: 16762713 Link will open in a new window
Views: 1350
Downloads: 446
Average score: 0 (0 votes)
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Other data

Secondary language: English
Secondary keywords: day-ahead hourly price of electricity;independent increments process;European call option;Monte Carlo simulations;
Type (COBISS): Master's thesis/paper
Thesis comment: Univ. v Ljubljani, Fak. za matematiko in fiziko, Oddelek za matematiko, Finančna matematika - 2. stopnja
Pages: 92 f.
ID: 10911098