A new approach to wind power futures pricing
DOI10.1007/S10203-021-00345-8zbMATH Open1480.91289OpenAlexW3204134300MaRDI QIDQ2064645FDOQ2064645
Authors: Yanyan Li 
Publication date: 6 January 2022
Published in: Decisions in Economics and Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10203-021-00345-8
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Fourier transformstochastic differential equationrisk premiumarithmetic multi-factor modelpure-jump Ornstein-Uhlenbeck processwind power futureswind power production indexLévy-type process
Processes with independent increments; Lévy processes (60G51) Derivative securities (option pricing, hedging, etc.) (91G20) Jump processes on discrete state spaces (60J74)
Cites Work
- Financial Modelling with Jump Processes
- Title not available (Why is that?)
- Title not available (Why is that?)
- Lévy Processes and Stochastic Calculus
- Stochastic modeling of electricity and related markets.
- A non-Gaussian Ornstein-Uhlenbeck model for pricing wind power futures
- A Non‐Gaussian Ornstein–Uhlenbeck Process for Electricity Spot Price Modeling and Derivatives Pricing
- Modeling and pricing in financial markets for weather derivatives
- PRICING TEMPERATURE DERIVATIVES UNDER WEATHER FORECASTS
- Modeling and pricing precipitation derivatives under weather forecasts
- A mixed C-vine copula model for hedging price and volumetric risk in wind power trading
- Optimal trading policies for wind energy producer
- Multivariate continuous-time modeling of wind indexes and hedging of wind risk
Cited In (6)
- Insuring wind energy production
- Multivariate continuous-time modeling of wind indexes and hedging of wind risk
- Spatial dependencies of wind power and interrelations with spot price dynamics
- Optimal hedging of prediction errors using prediction errors
- Modelling the impact of wind power production on electricity prices by regime-switching Lévy semistationary processes
- A non-Gaussian Ornstein-Uhlenbeck model for pricing wind power futures
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