Modelling spikes and pricing swing options in electricity markets
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Publication:3404103
DOI10.1080/14697680802596856zbMath1182.91176OpenAlexW2123696687MaRDI QIDQ3404103
Tino Kluge, Benjamin 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
continuous time modelsenergy derivativesfinancial mathematicsstochastic jumpsderivative pricing modelsnumerical methods for option pricing
Numerical methods (including Monte Carlo methods) (91G60) Financial applications of other theories (91G80) Derivative securities (option pricing, hedging, etc.) (91G20)
Related Items (29)
Normal Tempered Stable Processes and the Pricing of Energy Derivatives ⋮ Joint Modelling of Gas and Electricity Spot Prices ⋮ Jump-diffusion models with two stochastic factors for pricing swing options in electricity markets with partial-integro differential equations ⋮ Optimal Cross-Border Electricity Trading ⋮ Model Uncertainty in Commodity Markets ⋮ Modelling Electricity Futures by Ambit Fields ⋮ Modeling spot price dependence in Australian electricity markets with applications to risk management ⋮ Pricing and risk of swing contracts in natural gas markets ⋮ Valuation of option price in commodity markets described by a Markov-switching model: a case study of WTI crude oil market ⋮ A nonparametric model for spot price dynamics and pricing of futures contracts in electricity markets ⋮ Swing options in commodity markets: a multidimensional Lévy diffusion model ⋮ Estimating fast mean-reverting jumps in electricity market models ⋮ Dual pricing of multi-exercise options under volume constraints ⋮ Exact Simulation of Variance Gamma-Related OU Processes: Application to the Pricing of Energy Derivatives ⋮ Fast Pricing of Energy Derivatives with Mean-Reverting Jump-diffusion Processes ⋮ Pricing electricity forwards under future information on the stochastic mean-reversion level ⋮ Markov models for commodity futures: theory and practice ⋮ Forward price and fitting of electricity Nord Pool market under regime-switching two-factor model ⋮ Pricing exchange options with correlated jump diffusion processes ⋮ SWING OPTION PRICING BY DYNAMIC PROGRAMMING WITH B-SPLINE DENSITY PROJECTION ⋮ On the Optimal Exercise Boundaries of Swing Put Options ⋮ Modelling Electricity Prices with Forward Looking Capacity Constraints ⋮ Long-term swings and seasonality in energy markets ⋮ Exact simulation of normal tempered stable processes of OU type with applications ⋮ ELECTRICITY FUTURES PRICE MODELING WITH LÉVY TERM STRUCTURE MODELS ⋮ DUAL REPRESENTATIONS FOR GENERAL MULTIPLE STOPPING PROBLEMS ⋮ General closed-form basket option pricing bounds ⋮ Modelling electricity prices: a time change approach ⋮ Efficient simulation of \(p\)-tempered \(\alpha\)-stable OU processes
Cites Work
- Electricity prices and power derivatives: evidence from the Nordic Power Exchange
- Valuation of Commodity-Based Swing Options
- Pricing in Electricity Markets: A Mean Reverting Jump Diffusion Model with Seasonality
- Transform Analysis and Asset Pricing for Affine Jump-diffusions
- MONTE CARLO METHODS FOR THE VALUATION OF MULTIPLE‐EXERCISE OPTIONS
- A note on arbitrage‐free pricing of forward contracts in energy markets
- Valuation by Simulation of Contingent Claims with Multiple Early Exercise Opportunities
- A Non‐Gaussian Ornstein–Uhlenbeck Process for Electricity Spot Price Modeling and Derivatives Pricing
- Periodic Seasonal Reg-ARFIMA–GARCH Models for Daily Electricity Spot Prices
- OPTIMAL MULTIPLE STOPPING AND VALUATION OF SWING OPTIONS
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