A note on super-hedging for investor-producers

DOI10.1007/s11579-012-0080-7zbMath1270.91105arXiv1112.4740MaRDI QIDQ2392019

Adrien Nguyen Huu

Publication date: 6 August 2013

Published in: Mathematics and Financial Economics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1112.4740

zbMATH Keywords

energy derivatives; arbitrage pricing theory; electricity markets; nonlinear returns; markets with proportional transaction costs; super replication theorem

Mathematics Subject Classification ID

60G42: Martingales with discrete parameter

60H30: Applications of stochastic analysis (to PDEs, etc.)

91G80: Financial applications of other theories

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