A Lattice‐Based Method for Pricing Electricity Derivatives Under the Threshold Model
From MaRDI portal
Publication:3617309
DOI10.1080/13504860802379835zbMath1156.91369OpenAlexW2007068052MaRDI QIDQ3617309
Stelios Kourouvakalis, Hélyette Geman
Publication date: 23 March 2009
Published in: Applied Mathematical Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/13504860802379835
Microeconomic theory (price theory and economic markets) (91B24) Derivative securities (option pricing, hedging, etc.) (91G20) Economic models of real-world systems (e.g., electricity markets, etc.) (91B74)
Related Items
Distributed energy resources flexibility as volumetric options on electricity ⋮ Modelling electricity prices: a time change approach
Cites Work
- Unnamed Item
- Unnamed Item
- Optimal portfolio for a small investor in a market model with discontinuous prices
- Martingales and stochastic integrals in the theory of continuous trading
- Electricity prices and power derivatives: evidence from the Nordic Power Exchange
- A stochastic calculus model of continuous trading: Complete markets
- A numerical algorithm for pricing electricity derivatives for jump-diffusion processes based on continuous time lattices
- Valuation of Commodity-Based Swing Options
- Pricing in Electricity Markets: A Mean Reverting Jump Diffusion Model with Seasonality
- A MULTINOMIAL APPROXIMATION FOR AMERICAN OPTION PRICES IN LÉVY PROCESS MODELS
- Implementing Arrow-Debreu Equilibria by Continuous Trading of Few Long-Lived Securities
- Interest Rate Option Pricing With Poisson‐Gaussian Forward Rate Curve Processes
- A DIFFUSION MODEL FOR ELECTRICITY PRICES
- Option pricing when underlying stock returns are discontinuous
- Option pricing: A simplified approach
- A QUANTIZATION TREE METHOD FOR PRICING AND HEDGING MULTIDIMENSIONAL AMERICAN OPTIONS
