Modelling spikes and pricing swing options in electricity markets
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Publication:3404103
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Cites work
- A Non‐Gaussian Ornstein–Uhlenbeck Process for Electricity Spot Price Modeling and Derivatives Pricing
- A note on arbitrage‐free pricing of forward contracts in energy markets
- Electricity prices and power derivatives: evidence from the Nordic Power Exchange
- MONTE CARLO METHODS FOR THE VALUATION OF MULTIPLE‐EXERCISE OPTIONS
- OPTIMAL MULTIPLE STOPPING AND VALUATION OF SWING OPTIONS
- Periodic Seasonal Reg-ARFIMA–GARCH Models for Daily Electricity Spot Prices
- Pricing in Electricity Markets: A Mean Reverting Jump Diffusion Model with Seasonality
- Transform Analysis and Asset Pricing for Affine Jump-diffusions
- Valuation by Simulation of Contingent Claims with Multiple Early Exercise Opportunities
- Valuation of Commodity-Based Swing Options
Cited in
(42)- Exact simulation of normal tempered stable processes of OU type with applications
- A Lattice‐Based Method for Pricing Electricity Derivatives Under the Threshold Model
- Dual representations for general multiple stopping problems
- Swing options in commodity markets: a multidimensional Lévy diffusion model
- scientific article; zbMATH DE number 5911824 (Why is no real title available?)
- scientific article; zbMATH DE number 5837247 (Why is no real title available?)
- Dual pricing of multi-exercise options under volume constraints
- Modeling spot price dependence in Australian electricity markets with applications to risk management
- A spot market model for pricing derivatives in electricity markets
- Spike and hike modeling for interest rate derivatives: with an application to SOFR caplets
- Efficient simulation of \(p\)-tempered \(\alpha\)-stable OU processes
- Normal Tempered Stable Processes and the Pricing of Energy Derivatives
- Valuation of option price in commodity markets described by a Markov-switching model: a case study of WTI crude oil market
- Forward price and fitting of electricity Nord Pool market under regime-switching two-factor model
- Exact simulation of variance gamma-related OU processes: application to the pricing of energy derivatives
- General closed-form basket option pricing bounds
- Estimating fast mean-reverting jumps in electricity market models
- Jump-diffusion models with two stochastic factors for pricing swing options in electricity markets with partial-integro differential equations
- Stochastic spot price multi-period model and option valuation for electrical markets
- Swing option pricing consistent with futures smiles
- Pricing and risk of swing contracts in natural gas markets
- A nonparametric model for spot price dynamics and pricing of futures contracts in electricity markets
- Modelling electricity futures by ambit fields
- Long-term swings and seasonality in energy markets
- Electricity swing option pricing by stochastic bilevel optimization: a survey and new approaches
- Modelling Electricity Prices with Forward Looking Capacity Constraints
- Optimal cross-border electricity trading
- Model uncertainty in commodity markets
- scientific article; zbMATH DE number 6938723 (Why is no real title available?)
- Pricing swing options in the electricity markets under regime-switching uncertainty
- Pricing exchange options with correlated jump diffusion processes
- 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
- Pricing electricity forwards under future information on the stochastic mean-reversion level
- Joint Modelling of Gas and Electricity Spot Prices
- Markov models for commodity futures: theory and practice
- Modelling electricity prices: a time change approach
- Swing option pricing by dynamic programming with b-spline density projection
- Pricing of Swing Options in a Mean Reverting Model with Jumps
- Fast pricing of energy derivatives with mean-reverting jump-diffusion processes
- A Non‐Gaussian Ornstein–Uhlenbeck Process for Electricity Spot Price Modeling and Derivatives Pricing
- Electricity futures price modeling with Lévy term structure models
- On the optimal exercise boundaries of swing put options
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