Pricing Quanto Options in Renewable Energy Markets

DOI10.47836/mjms.17.4.02MaRDI QIDQ6203965

Noor Akma Ibrahim, Che Mohd Imran Che Taib, Unnamed Author

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)

Cites Work

• Unnamed Item
• The pricing of Quanto options under dynamic correlation
• Weather derivatives and stochastic modelling of temperature
• Modelling the Impact of Wind Power Production on Electricity Prices by Regime-Switching Lévy Semistationary Processes
• Modeling and Pricing in Financial Markets for Weather Derivatives
• ELECTRICITY FUTURES PRICE MODELING WITH LÉVY TERM STRUCTURE MODELS
• The Implied Market Price of Weather Risk
• Modelling Temperature Using CARMA Processes with Stochastic Speed of Mean Reversion for Temperature Insurance Pricing

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