The Risk Premium and the Esscher Transform in Power Markets

DOI10.1080/07362994.2012.628906zbMath1250.62053OpenAlexW3121402459MaRDI QIDQ3119080

Carlo Sgarra, Fred Espen Benth

Publication date: 7 March 2012

Published in: Stochastic Analysis and Applications (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/10852/41889

zbMATH Keywords

derivatives pricingpower marketEsscher transformprocesses with independent incrementsrisk premiums

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Applications of statistics to economics (62P20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Derivative securities (option pricing, hedging, etc.) (91G20)

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Cites Work

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

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