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

DOI10.1080/1350486X.2021.1898998MaRDI QIDQ4994682zbMATH OpenFDO

Authors Richard Biegler-König

Publication date 21 June 2021

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

zbMATH Keywords

hedging strategiesdelta hedgingvirtual power plantsrolling intrinsic hedgingstochastic modelling of energy markets

Mathematics Subject Classification ID

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

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Cites work

• scientific article; zbMATH DE number 51724 (Why is no real title available?)
• ALTERNATIVE CHARACTERIZATIONS OF AMERICAN PUT OPTIONS
• Risk-neutral valuation. Pricing and hedging of financial derivatives.
• Stochastic modeling of electricity and related markets.

Cited in

(2)

• Hedging strategies for energy derivatives
• Gas storage hedging

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