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  • Simonsen, Iben Cathrine (Master thesis / Masteroppgave, 2012)
    The objective of this thesis is to value spread options with payoff function on the form max(S_1(T)-hS_2(T)-K,0), where S_1(T) and S_2(T) are the spot prices of two energy commodities at maturity time T, h is the heatrate ...