Lin Zhao

Vrije Universiteit Amsterdam, School of Business and Economics

De Boelelaan 1105

Amsterdam, 1081HV

Netherlands

SCHOLARLY PAPERS

2

DOWNLOADS

67

SSRN CITATIONS

0

CROSSREF CITATIONS

0

Scholarly Papers (2)

1.

Asset Pricing in Incomplete Markets: Valuing Gas Storage Capacity

Tinbergen Institute Discussion Paper 15-104/VI/DSF95
Number of pages: 34 Posted: 08 Sep 2015
Lin Zhao and Sweder van Wijnbergen
Vrije Universiteit Amsterdam, School of Business and Economics and Universiteit van Amsterdam
Downloads 40 (424,259)

Abstract:

Loading...

stochastic volatility, Generalised Autoregressive Score modeling, incomplete markets, real options, utility indifference pricing, gas storage, capacity constraints

2.

A Real Option Perspective on Valuing Gas Fields

Tinbergen Institute Discussion Paper 13-126/VI/DSF60
Number of pages: 54 Posted: 29 Jan 2016
Lin Zhao and Sweder van Wijnbergen
Vrije Universiteit Amsterdam, School of Business and Economics and Universiteit van Amsterdam
Downloads 27 (482,420)

Abstract:

Loading...

real options, unhedgeable risks, volatility clustering, gas field valuation, pricing flexibility