A new approach to wind power futures pricing

DOI10.1007/s10203-021-00345-8zbMath1480.91289OpenAlexW3204134300MaRDI QIDQ2064645

Yanyan Li

Publication date: 6 January 2022

Published in: Decisions in Economics and Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10203-021-00345-8

zbMATH Keywords

Fourier transformstochastic differential equationLévy-type processrisk premiumarithmetic multi-factor modelpure-jump Ornstein-Uhlenbeck processwind power futureswind power production index

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Derivative securities (option pricing, hedging, etc.) (91G20) Jump processes on discrete state spaces (60J74)

Cites Work

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• MODELING AND PRICING PRECIPITATION DERIVATIVES UNDER WEATHER FORECASTS
• Lévy Processes and Stochastic Calculus
• A mixed C-vine copula model for hedging price and volumetric risk in wind power trading
• A non-Gaussian Ornstein–Uhlenbeck model for pricing wind power futures
• PRICING TEMPERATURE DERIVATIVES UNDER WEATHER FORECASTS
• Optimal Trading Policies for Wind Energy Producer
• Financial Modelling with Jump Processes
• Modeling and Pricing in Financial Markets for Weather Derivatives
• Multivariate continuous-time modeling of wind indexes and hedging of wind risk
• A Non‐Gaussian Ornstein–Uhlenbeck Process for Electricity Spot Price Modeling and Derivatives Pricing

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