Lecture notes.
Benth, F.E., S. Koekebakker, and F. Ollmar (2007): Extracting and Applying Smooth Forward Curves From Average-Based Commodity Contracts with Seasonal Variation. Journal of Derivatives, Fall 2007, pp. 52-66.
Bjerksund, P., and G. Stensland (2014): Closed Form Spread Option Valuation. Quantitative Finance, Vol. 14, No. 10, pp. 1785-1794.
https://www.tandfonline.com/doi/abs/10.1080/14697688.2011.617775https://www.tandfonline.com/doi/abs/10.1080/14697688.2011.617775
Bjerksund, P., G. Stensland, and H. Rasmussen (2010): Valuation and Risk Management in the Norwegian Electricity Market. In Bjørndal, E., M. Bjørndal, P.M. Pardalos, and M. Rönnqvist (Eds.): Energy, Natural Resources and Environmental Economics. Springer, pp. 167-185.
Supplementary readings:
Bjerksund, P., B. Myksvoll, and G. Stensland (2008): Exercising Flexible Load Contracts: Two Simple Strategies, Applied Stochastic Models in Business and Industry, Vol. 24, pp. 93-107.
Bjerksund, P., G. Stensland, and F. Vagstad (2011): Gas Storage Valuation: Price Modelling v. Optimization Methods. The Energy Journal, Vol. 32, No. 1, pp. 203-228.
Jaillet, P., E.I. Ronn, and S. Tompaidis (2004): Valuation of Commodity-Based Swing Options. Management Science, Vol 50, No. 7, pp. 909-921.
Johnson, B., and M.I. De Miranda (2002): Modelling Generation Assets. In Ronn, E.I. (Ed.): Real Options and Energy Management: Using Options Methodology to Enhance Capital Budgeting Decisions, Risk Books, pp. 393-427.