The Risk Premium and the Esscher Transform in Power Markets (Q3119080): Difference between revisions

@@ Property / MaRDI profile type @@
+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
+Normal rank
@@ Property / OpenAlex ID @@
+W3121402459
@@ Property / OpenAlex ID: W3121402459 / rank @@
+Normal rank
@@ Property / cites work @@
+Processes of normal inverse Gaussian type
@@ Property / cites work: Processes of normal inverse Gaussian type / rank @@
+Normal rank
@@ Property / cites work @@
+A note on arbitrage‐free pricing of forward contracts in energy markets
+Normal rank
@@ Property / cites work @@
+A Non‐Gaussian Ornstein–Uhlenbeck Process for Electricity Spot Price Modeling and Derivatives Pricing
+Normal rank
@@ Property / cites work @@
+THE NORMAL INVERSE GAUSSIAN DISTRIBUTION AND SPOT PRICE MODELLING IN ENERGY MARKETS
+Normal rank
@@ Property / cites work @@
+Pricing in Electricity Markets: A Mean Reverting Jump Diffusion Model with Seasonality
+Normal rank
@@ Property / cites work @@
+A multi-factor jump-diffusion model for commodities†
+Normal rank
@@ Property / cites work @@
+A general version of the fundamental theorem of asset pricing
+Normal rank
@@ Property / cites work @@
+The fundamental theorem of asset pricing for unbounded stochastic processes
+Normal rank
@@ Property / cites work @@
+Risk Premia in Electricity Forward Prices
@@ Property / cites work: Risk Premia in Electricity Forward Prices / rank @@
+Normal rank
@@ Property / cites work @@
+Minimal entropy preserves the Lévy property: how and why
+Normal rank
@@ Property / cites work @@
+Esscher transforms and the minimal entropy martingale measure for exponential Lévy models
+Normal rank
@@ Property / cites work @@
+The cumulant process and Esscher's change of measure
+Normal rank
@@ Property / cites work @@
+MULTI-FACTOR JUMP-DIFFUSION MODELS OF ELECTRICITY PRICES
+Normal rank
@@ Property / cites work @@
+Electricity prices and power derivatives: evidence from the Nordic Power Exchange
+Normal rank
@@ Property / cites work @@
+Option pricing when underlying stock returns are discontinuous
+Normal rank