Pricing electricity forwards under future information on the stochastic mean-reversion level

DOI10.1007/S10203-020-00307-6zbMATH Open1465.91115OpenAlexW3092578654MaRDI QIDQ2026537FDOQ2026537

Authors: Yanyan Li 

Publication date: 19 May 2021

Published in: Decisions in Economics and Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10203-020-00307-6

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zbMATH Keywords

stochastic differential equationPoisson random measure[https://portal.mardi4nfdi.de/w/index.php?title=+Special%3ASearch&search=L%EF%BF%BD%EF%BF%BDvy-type+process&go=Go L��vy-type process]initially enlarged filtrationarithmetic multi-factor modelelectricity spot/forward/futures priceinformation premiumpure-jump Ornstein-Uhlenbeck process

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Derivative securities (option pricing, hedging, etc.) (91G20)

Cites Work

• Financial Modelling with Jump Processes
• Mathematical methods for financial markets.
• Stochastic modeling of electricity and related markets.
• A DIFFUSION MODEL FOR ELECTRICITY PRICES
• Electricity prices and power derivatives: evidence from the Nordic Power Exchange
• A spot market model for pricing derivatives in electricity markets
• A Non‐Gaussian Ornstein–Uhlenbeck Process for Electricity Spot Price Modeling and Derivatives Pricing
• A structural risk-neutral model of electricity prices
• Modelling spikes and pricing swing options in electricity markets
• Electricity spot price modelling with a view towards extreme spike risk
• Time reversal on Lévy processes
• Harnesses, Lévy bridges and Monsieur Jourdain
• MULTI-FACTOR JUMP-DIFFUSION MODELS OF ELECTRICITY PRICES
• Pricing electricity risk by interest rate methods
• Enlargement of Filtration with Finance in View
• Modeling and pricing precipitation derivatives under weather forecasts

Cited In (2)

• On the construction of hourly price forward curves for electricity prices
• A machine learning-based price state prediction model for agricultural commodities using external factors

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