Pricing illiquidity in energy markets
Illiquidity is sadly a typical feature of many energy derivative markets. In this paper Stefano Fiorenzani proposes the application of a methodology, originally developed for equity markets, to overcome this problem
In the past few years, there has been a significant development within the energy derivatives markets. This has happened in spite of the many products traded on the over-the-counter (OTC) markets and the serious liquidity problems that characterise organised exchanges.
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