Pricing Quanto Options in Renewable Energy Markets

DOI10.47836/MJMS.17.4.02MaRDI QIDQ6203965zbMATH OpenFDO

Authors Noor Akma Ibrahim, Che Mohd Imran Che Taib

Publication date 8 April 2024

Published in Malaysian Journal of Mathematical Sciences (Search for Journal in Brave)

zbMATH Keywords

electricity pricesquanto optionsphotovoltaic productions

Mathematics Subject Classification ID

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

Recommendations

• Risk management of renewable power producers from co-dependencies in cash flows
• Pricing renewable identification numbers under uncertainty
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• On the sensitivity analysis of energy quanto options

Cites work

• scientific article; zbMATH DE number 3930122 (Why is no real title available?)
• Electricity futures price modeling with Lévy term structure models
• Modeling and pricing in financial markets for weather derivatives
• Modelling Temperature Using CARMA Processes with Stochastic Speed of Mean Reversion for Temperature Insurance Pricing
• Modelling the impact of wind power production on electricity prices by regime-switching Lévy semistationary processes
• The implied market price of weather risk
• The pricing of Quanto options under dynamic correlation
• Weather derivatives and stochastic modelling of temperature

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