A note on super-hedging for investor-producers

DOI10.1007/S11579-012-0080-7zbMath1270.91105arXiv1112.4740OpenAlexW2111868482MaRDI QIDQ2392019

Adrien Nguyen Huu

Publication date: 6 August 2013

Published in: Mathematics and Financial Economics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1112.4740

zbMATH Keywords

energy derivativesarbitrage pricing theoryelectricity marketsnonlinear returnsmarkets with proportional transaction costssuper replication theorem

Mathematics Subject Classification ID

Martingales with discrete parameter (60G42) Applications of stochastic analysis (to PDEs, etc.) (60H30) Financial applications of other theories (91G80)

Cites Work

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• The existence of absolutely continuous local martingale measures
• Optimization in the Energy Industry
• Hedging of Claims with Physical Delivery under Convex Transaction Costs
• A STRUCTURAL RISK-NEUTRAL MODEL OF ELECTRICITY PRICES
• NO MARGINAL ARBITRAGE OF THE SECOND KIND FOR HIGH PRODUCTION REGIMES IN DISCRETE TIME PRODUCTION–INVESTMENT MODELS WITH PROPORTIONAL TRANSACTION COSTS

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