A structural risk-neutral model for pricing and hedging power derivatives

DOI10.1111/J.1467-9965.2011.00507.XMaRDI QIDQ2847237zbMATH OpenOpenAlexFDO

Authors René Aïd, Luciano Campi, Nicolas Langrené

Publication date 4 September 2013

Published in Mathematical Finance (Search for Journal in Brave)

Full work available at URL http://hdl.handle.net/2434/751147

zbMATH Keywords

capacityelectricity demandlocal risk minimizationspread optionsminimal martingale measurepower derivativeselectricity spot and forward pricesextended incomplete Goodwin-Staton integralfuelsscarcity function

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70) Economic models of real-world systems (e.g., electricity markets, etc.) (91B74)

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Cites work

• scientific article; zbMATH DE number 51724 (Why is no real title available?)
• A DIFFUSION MODEL FOR ELECTRICITY PRICES
• A Non‐Gaussian Ornstein–Uhlenbeck Process for Electricity Spot Price Modeling and Derivatives Pricing
• A comparison of two quadratic approaches to hedging in incomplete markets
• A note on arbitrage‐free pricing of forward contracts in energy markets
• A structural risk-neutral model of electricity prices
• Analytical and numerical aspects of a generalization of the complementary error function
• Bounds for the utility-indifference prices of non-traded assets in incomplete markets
• NO MARGINAL ARBITRAGE OF THE SECOND KIND FOR HIGH PRODUCTION REGIMES IN DISCRETE TIME PRODUCTION–INVESTMENT MODELS WITH PROPORTIONAL TRANSACTION COSTS
• On a class of incomplete gamma functions with applications
• On quadratic hedging in continuous time
• Pricing in Electricity Markets: A Mean Reverting Jump Diffusion Model with Seasonality
• Valuation and hedging of European contingent claims on power with spikes: a non-Markovian approach
• Variance optimal hedging for continuous time additive processes and applications
• Weighted norm inequalities and hedging in incomplete markets

Cited in

(16)

• Bayesian estimation of electricity price risk with a multi-factor mixture of densities
• Valuation and hedging of European contingent claims on power with spikes: a non-Markovian approach
• Utility indifference valuation for non-smooth payoffs with an application to power derivatives
• Pricing electricity risk by interest rate methods
• Electricity price modeling and asset valuation: a multi-fuel structural approach
• Utility indifference pricing and hedging for structured contracts in energy markets
• Electricity derivatives
• A non-parametric structural hybrid modeling approach for electricity prices
• Forward price and fitting of electricity Nord Pool market under regime-switching two-factor model
• On the control of the difference between two Brownian motions: an application to energy markets modeling
• Electricity derivatives pricing with forward-looking information
• Static hedging of weather and price risks in electricity markets
• A structural risk-neutral model of electricity prices
• Structural electricity models and asymptotically normal estimators to quantify parameter risk
• On hedging spark spread options in electricity markets
• Pricing electricity day-ahead cap futures with multifactor skew-t densities

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