Utility indifference pricing and hedging for structured contracts in energy markets

DOI10.1007/s00186-016-0569-6zbMath1414.91363DBLPjournals/mmor/CallegaroCGV17arXiv1407.7725OpenAlexW2142565351WikidataQ59605739 ScholiaQ59605739MaRDI QIDQ2014372

Luciano Campi, Valeria Giusto, Tiziano Vargiolu, Giorgia Callegaro

Publication date: 11 August 2017

Published in: Mathematical Methods of Operations Research (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1407.7725

zbMATH Keywords

viscosity solutionsHJB equationsutility indifference pricingminimal entropy martingale measureswing contractvirtual storage contract

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Generalizations of martingales (60G48) Derivative securities (option pricing, hedging, etc.) (91G20) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25)

Related Items (2)

A review of the operations literature on real options in energy ⋮ Optimal management of pumped hydroelectric production with state constrained optimal control

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