Hedging strategies in commodity markets -- rolling intrinsic and delta hedging for virtual power plants

DOI10.1080/1350486X.2021.1898998zbMATH Open1466.91326MaRDI QIDQ4994682FDOQ4994682

Authors: Richard Biegler-König 

Publication date: 21 June 2021

Published in: Applied Mathematical Finance (Search for Journal in Brave)

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zbMATH Keywords

hedging strategiesdelta hedgingvirtual power plantsrolling intrinsic hedgingstochastic modelling of energy markets

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

Cites Work

• Title not available (Why is that?)
• Stochastic modeling of electricity and related markets.
• ALTERNATIVE CHARACTERIZATIONS OF AMERICAN PUT OPTIONS
• Risk-neutral valuation. Pricing and hedging of financial derivatives.

Cited In (2)

• Hedging strategies for energy derivatives
• Gas storage hedging

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