PRICING FLOW COMMODITY DERIVATIVES USING FIXED INCOME MARKET TECHNIQUES

DOI10.1142/S0219024906004001zbMath1134.91373OpenAlexW2054340237MaRDI QIDQ5386317

Juri Hinz, Martina Wilhelm

Publication date: 14 May 2008

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/s0219024906004001

zbMATH Keywords

futures marketselectricity riskpower derivativesenergy economicscommodity options

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30) Derivative securities (option pricing, hedging, etc.) (91G20) Economic models of real-world systems (e.g., electricity markets, etc.) (91B74)

Related Items

INVESTMENT TIMING UNDER REGIME SWITCHING ⋮ Risk management in power markets: the hedging value of production flexibility ⋮ ELECTRICITY FUTURES PRICE MODELING WITH LÉVY TERM STRUCTURE MODELS

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