Pricing Quanto Options in Renewable Energy Markets
From MaRDI portal
Publication:6203965
DOI10.47836/MJMS.17.4.02MaRDI QIDQ6203965FDOQ6203965
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)
Recommendations
- Risk management of renewable power producers from co-dependencies in cash flows
- Pricing renewable identification numbers under uncertainty
- The pricing of power quanto options under stochastic volatility
- Valuation of electricity storage contracts using the COS method
- On the sensitivity analysis of energy quanto options
Cites Work
- Title not available (Why is that?)
- The implied market price of weather risk
- Modelling the impact of wind power production on electricity prices by regime-switching Lévy semistationary processes
- Electricity futures price modeling with Lévy term structure models
- Modeling and pricing in financial markets for weather derivatives
- The pricing of Quanto options under dynamic correlation
- Weather derivatives and stochastic modelling of temperature
- Modelling Temperature Using CARMA Processes with Stochastic Speed of Mean Reversion for Temperature Insurance Pricing
This page was built for publication: Pricing Quanto Options in Renewable Energy Markets
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6203965)
