A structural risk-neutral model for pricing and hedging power derivatives
DOI10.1111/J.1467-9965.2011.00507.XzbMATH Open1311.91177OpenAlexW2166285830MaRDI QIDQ2847237FDOQ2847237
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
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capacityelectricity demandlocal risk minimizationspread optionsminimal martingale measurepower derivativeselectricity spot and forward pricesextended incomplete Goodwin-Staton integralfuelsscarcity function
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)
Cites Work
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- A structural risk-neutral model of electricity prices
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- Variance optimal hedging for continuous time additive processes and applications
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- A note on arbitrage‐free pricing of forward contracts in energy 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
- Pricing electricity risk by interest rate methods
- Utility indifference valuation for non-smooth payoffs with an application to power derivatives
- 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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