A STRUCTURAL RISK-NEUTRAL MODEL FOR PRICING AND HEDGING POWER DERIVATIVES

DOI10.1111/j.1467-9965.2011.00507.xzbMath1311.91177OpenAlexW2166285830MaRDI QIDQ2847237

Luciano Campi, Nicolas Langrené, René Aïd

Publication date: 4 September 2013

Published in: Mathematical Finance (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/2434/751147

zbMATH Keywords

capacityelectricity demandlocal risk minimizationspread optionsminimal martingale measurepower derivativeselectricity spot and forward pricesextended incomplete Goodwin-Staton integralfuelsscarcity function

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Economic models of real-world systems (e.g., electricity markets, etc.) (91B74) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70)

Related Items (7)

Utility indifference valuation for non-smooth payoffs with an application to power derivatives ⋮ On the control of the difference between two Brownian motions: an application to energy markets modeling ⋮ Electricity derivatives pricing with forward-looking information ⋮ Electricity price modeling and asset valuation: a multi-fuel structural approach ⋮ Bayesian estimation of electricity price risk with a multi-factor mixture of densities ⋮ Forward price and fitting of electricity Nord Pool market under regime-switching two-factor model ⋮ A non-parametric structural hybrid modeling approach for electricity prices

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