Using Affine Jump Diffusion Models for Modelling and Pricing Electricity Derivatives
From MaRDI portal
Publication:3502202
DOI10.1080/13504860701427362zbMath1134.91529OpenAlexW2039364161MaRDI QIDQ3502202
Publication date: 22 May 2008
Published in: Applied Mathematical Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/13504860701427362
electricity derivativesaffine jump diffusion modelsregime-switching spike modelseasonal risk premium
Microeconomic theory (price theory and economic markets) (91B24) Economic models of real-world systems (e.g., electricity markets, etc.) (91B74)
Related Items
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, Valuation of swing options under a regime-switching mean-reverting model, Modelling electricity prices: a time change approach, COMMODITY PRICE DYNAMICS AND DERIVATIVE VALUATION: A REVIEW
Cites Work
- A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity
- Martingales and arbitrage in multiperiod securities markets
- Electricity prices and power derivatives: evidence from the Nordic Power Exchange
- Pricing in Electricity Markets: A Mean Reverting Jump Diffusion Model with Seasonality
- A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
- A DIFFUSION MODEL FOR ELECTRICITY PRICES
- Transform Analysis and Asset Pricing for Affine Jump-diffusions
- Energy futures prices: term structure models with Kalman filter estimation
- An Intertemporal Capital Asset Pricing Model
- A Non‐Gaussian Ornstein–Uhlenbeck Process for Electricity Spot Price Modeling and Derivatives Pricing
- An equilibrium characterization of the term structure