ELECTRICITY FUTURES PRICE MODELING WITH LÉVY TERM STRUCTURE MODELS

DOI10.1142/S021902491550003XzbMath1337.91088OpenAlexW2157688399MaRDI QIDQ5245888

Julia Bregman, Francesca Biagini, Thilo Meyer-Brandis

Publication date: 15 April 2015

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/s021902491550003x

zbMATH Keywords

Lévy processesFourier transform techniqueselectricity futures marketelectricity swing optionsinterest rate term structure modeling

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Interest rates, asset pricing, etc. (stochastic models) (91G30) Derivative securities (option pricing, hedging, etc.) (91G20) Economic models of real-world systems (e.g., electricity markets, etc.) (91B74)

Related Items (2)

Pricing Quanto Options in Renewable Energy Markets ⋮ Spectral-free estimation of Lévy densities in high-frequency regime

Cites Work

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• Financial Modelling with Jump Processes
• PRICING FLOW COMMODITY DERIVATIVES USING FIXED INCOME MARKET TECHNIQUES

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