The non-Markovian approach to the valuation and hedging of European contingent claims on power with scaling spikes

DOI10.1016/J.NAHS.2006.05.002zbMath1155.93419OpenAlexW2073132274MaRDI QIDQ1003517

Valery A. Kholodnyi

Publication date: 4 March 2009

Published in: Nonlinear Analysis. Hybrid Systems (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.nahs.2006.05.002

zbMATH Keywords

power forward prices for power with spikescontingent claims on power with spikesnon-Markovian stochastic process for power prices with spikesscaling probability distribution for the magnitude of spikes

Mathematics Subject Classification ID

Decision theory (91B06) Microeconomic theory (price theory and economic markets) (91B24) Stochastic systems in control theory (general) (93E03)

Related Items (1)

Dynamic modeling of the power market and analysis of its complex behavior based on a nonlinear complementarity function

Cites Work

• Unnamed Item
• Valuation and hedging of European contingent claims on power with spikes: a non-Markovian approach
• Modeling power forward prices for power with spikes: a non-Markovian approach
• Product integration of measures and applications

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