Multi-layer model of correlated energy prices

DOI10.1016/J.CAM.2009.11.005MaRDI QIDQ847241zbMATH OpenOpenAlexFDO

Authors Slimane Grine, Pavel Diko

Publication date 12 February 2010

Published in Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.cam.2009.11.005

zbMATH Keywords

correlationelectricity marketsaffine jump-diffusion

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60) Statistical methods; risk measures (91G70)

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Cites work

• A DIFFUSION MODEL FOR ELECTRICITY PRICES
• A YIELD‐FACTOR MODEL OF INTEREST RATES
• A closed-form solution for options with stochastic volatility with applications to bond and currency options
• A multi-factor jump-diffusion model for commodities†
• A theory of the term structure of interest rates
• Affine processes and applications in finance
• Electricity prices and power derivatives: evidence from the Nordic Power Exchange
• Estimation of affine asset pricing models using the empirical characteristic function
• On Information and Sufficiency
• Pricing and Hedging Spread Options
• Transform Analysis and Asset Pricing for Affine Jump-diffusions

Cited in

(3)

• Pricing exchange options with correlated jump diffusion processes
• On the control of the difference between two Brownian motions: an application to energy markets modeling
• ENERGY SPOT PRICE MODELS AND SPREAD OPTIONS PRICING

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