Modelling spikes and pricing swing options in electricity markets

DOI10.1080/14697680802596856zbMATH Open1182.91176OpenAlexW2123696687MaRDI QIDQ3404103FDOQ3404103

Authors: T. Kluge, Ben M. Hambly, S. D. Howison 

Publication date: 5 February 2010

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697680802596856

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zbMATH Keywords

financial mathematicsstochastic jumpscontinuous time modelsenergy derivativesderivative pricing modelsnumerical methods for option pricing

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60) Financial applications of other theories (91G80)

Cites Work

• Transform Analysis and Asset Pricing for Affine Jump-diffusions
• OPTIMAL MULTIPLE STOPPING AND VALUATION OF SWING OPTIONS
• Periodic Seasonal Reg-ARFIMA–GARCH Models for Daily Electricity Spot Prices
• Electricity prices and power derivatives: evidence from the Nordic Power Exchange
• Pricing in Electricity Markets: A Mean Reverting Jump Diffusion Model with Seasonality
• A Non‐Gaussian Ornstein–Uhlenbeck Process for Electricity Spot Price Modeling and Derivatives Pricing
• Valuation by Simulation of Contingent Claims with Multiple Early Exercise Opportunities
• Valuation of Commodity-Based Swing Options
• MONTE CARLO METHODS FOR THE VALUATION OF MULTIPLE‐EXERCISE OPTIONS
• A note on arbitrage‐free pricing of forward contracts in energy markets

Cited In (42)

• Title not available (Why is that?)
• Title not available (Why is that?)
• Normal Tempered Stable Processes and the Pricing of Energy Derivatives
• Electricity swing option pricing by stochastic bilevel optimization: a survey and new approaches
• A Lattice‐Based Method for Pricing Electricity Derivatives Under the Threshold Model
• Valuation of forward contract price in energy markets described by a fuzzy-stochastic model and mathematical algorithms: a case study of the PJM western hub real-time peak market
• Modelling Electricity Prices with Forward Looking Capacity Constraints
• Pricing exchange options with correlated jump diffusion processes
• Pricing electricity forwards under future information on the stochastic mean-reversion level
• A spot market model for pricing derivatives in electricity markets
• Swing option pricing consistent with futures smiles
• Stochastic spot price multi-period model and option valuation for electrical markets
• Pricing of Swing Options in a Mean Reverting Model with Jumps
• Long-term swings and seasonality in energy markets
• Modelling electricity prices: a time change approach
• Joint Modelling of Gas and Electricity Spot Prices
• Estimating fast mean-reverting jumps in electricity market models
• Modelling electricity futures by ambit fields
• Dual pricing of multi-exercise options under volume constraints
• Jump-diffusion models with two stochastic factors for pricing swing options in electricity markets with partial-integro differential equations
• A Non‐Gaussian Ornstein–Uhlenbeck Process for Electricity Spot Price Modeling and Derivatives Pricing
• Forward price and fitting of electricity Nord Pool market under regime-switching two-factor model
• Pricing and risk of swing contracts in natural gas markets
• Pricing swing options in the electricity markets under regime-switching uncertainty
• A nonparametric model for spot price dynamics and pricing of futures contracts in electricity markets
• Model uncertainty in commodity markets
• Modeling spot price dependence in Australian electricity markets with applications to risk management
• Optimal cross-border electricity trading
• Valuation of option price in commodity markets described by a Markov-switching model: a case study of WTI crude oil market
• Fast pricing of energy derivatives with mean-reverting jump-diffusion processes
• Dual representations for general multiple stopping problems
• Swing option pricing by dynamic programming with b-spline density projection
• Spike and hike modeling for interest rate derivatives: with an application to SOFR caplets
• Electricity futures price modeling with Lévy term structure models
• Exact simulation of variance gamma-related OU processes: application to the pricing of energy derivatives
• On the optimal exercise boundaries of swing put options
• Swing options in commodity markets: a multidimensional Lévy diffusion model
• General closed-form basket option pricing bounds
• Exact simulation of normal tempered stable processes of OU type with applications
• Efficient simulation of \(p\)-tempered \(\alpha\)-stable OU processes
• Markov models for commodity futures: theory and practice
• Title not available (Why is that?)

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