A spot market model for pricing derivatives in electricity markets

DOI10.1088/1469-7688/4/1/010zbMATH Open1405.91597OpenAlexW2133033133WikidataQ60430077 ScholiaQ60430077MaRDI QIDQ4647601FDOQ4647601

Markus Burger, Alfred Müller, Schindlmayr, G., Bernhard Klar

Publication date: 15 January 2019

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

Full work available at URL: https://doi.org/10.1088/1469-7688/4/1/010

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zbMATH Keywords

electricity marketderivatives pricing

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Cites Work

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• Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation
• A DIFFUSION MODEL FOR ELECTRICITY PRICES
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• Short-Term Generation Asset Valuation: A Real Options Approach
• Energy futures prices: term structure models with Kalman filter estimation
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Cited In (26)

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• Using Affine Jump Diffusion Models for Modelling and Pricing Electricity Derivatives
• A Lattice‐Based Method for Pricing Electricity Derivatives Under the Threshold Model
• PRICING OF EXOTIC ENERGY DERIVATIVES BASED ON ARITHMETIC SPOT MODELS
• Pricing in Electricity Markets: A Mean Reverting Jump Diffusion Model with Seasonality
• Pricing electricity forwards under future information on the stochastic mean-reversion level
• A mixed C-vine copula model for hedging price and volumetric risk in wind power trading
• A Practical View on Valuation of Multi-Exercise American Style Options in Gas and Electricity Markets
• Modelling day‐ahead electricity prices
• Basics of electricity derivative pricing in competitive markets
• Periodic Seasonal Reg-ARFIMA–GARCH Models for Daily Electricity Spot Prices
• Modelling electricity prices: a time change approach
• Spatial dependencies of wind power and interrelations with spot price dynamics
• Nonparametric testing for differences in electricity prices: the case of the Fukushima nuclear accident
• Stochastic modeling of electricity and related markets.
• A non-parametric structural hybrid modeling approach for electricity prices
• A Non‐Gaussian Ornstein–Uhlenbeck Process for Electricity Spot Price Modeling and Derivatives Pricing
• Modelling Energy Markets with Extreme Spikes
• Electricity prices and power derivatives: evidence from the Nordic Power Exchange
• Risk management in power markets: the hedging value of production flexibility
• Title not available (Why is that?)
• Electricity derivatives pricing with forward-looking information
• Optimizing profits from hydroelectricity production
• Modelling locational price spreads in competitive electricity markets; applications for transmission rights valuation and replication
• Title not available (Why is that?)

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