Gas price generation and Rolling Intrinsic hedging strategy
Gas price generation and Rolling Intrinsic hedging strategy https://www.milanomultiphysics.it/wp-content/uploads/2020/10/Screenshot-from-2020-10-01-11-43-43.png 2415 1181 Milano Multiphysics https://www.milanomultiphysics.it/wp-content/uploads/2020/10/Screenshot-from-2020-10-01-11-43-43.pngMMP has developed and implemented a stochastic algorithm to generate gas prices, based on the Ornstein-Uhlenbeck process. Stochastic price generation is needed to feed the implementation of the Monthly Rolling…