Electricity price modeling and asset valuation: a multi-fuel structural approach
From MaRDI portal
Publication:356476
DOI10.1007/s11579-012-0091-4zbMath1269.91037arXiv1205.2299MaRDI QIDQ356476
Michael Coulon, René A. Carmona, Daniel C. Schwarz
Publication date: 25 July 2013
Published in: Mathematics and Financial Economics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1205.2299
91B84: Economic time series analysis
91B24: Microeconomic theory (price theory and economic markets)
91B54: Special types of economic markets (including Cournot, Bertrand)
Related Items
A non-parametric structural hybrid modeling approach for electricity prices, Dynamic Electricity Pricing to Smart Homes, Structural Electricity Models and Asymptotically Normal Estimators to Quantify Parameter Risk, Utility indifference valuation for non-smooth payoffs with an application to power derivatives, Electricity derivatives pricing with forward-looking information, Forward price and fitting of electricity Nord Pool market under regime-switching two-factor model, Electricity spot price modeling by multi-factor uncertain process: a case study from the Nordic region, Model Uncertainty in Commodity Markets
Cites Work
- Unnamed Item
- Unnamed Item
- A STRUCTURAL RISK-NEUTRAL MODEL FOR PRICING AND HEDGING POWER DERIVATIVES
- Joint Modelling of Gas and Electricity Spot Prices
- Pricing in Electricity Markets: A Mean Reverting Jump Diffusion Model with Seasonality
- Modelling Electricity Prices with Forward Looking Capacity Constraints
- A STRUCTURAL RISK-NEUTRAL MODEL OF ELECTRICITY PRICES
- A DIFFUSION MODEL FOR ELECTRICITY PRICES
- Pricing and Hedging Spread Options