Basics of electricity derivative pricing in competitive markets

DOI10.1080/13504860210132879zbMath1013.91049OpenAlexW2087951542MaRDI QIDQ4541609

Iivo Vehviläinen

Publication date: 5 September 2002

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

Full work available at URL: https://doi.org/10.1080/13504860210132879

zbMATH Keywords

pricingelectricity forwardsexotic optionselectricity derivatives

Mathematics Subject Classification ID

Auctions, bargaining, bidding and selling, and other market models (91B26)

Related Items (2)

Pricing swing options in the electricity markets under regime-switching uncertainty ⋮ A two-factor model for the electricity forward market

Cites Work

• The Pricing of Options and Corporate Liabilities
• Martingales and arbitrage in multiperiod securities markets
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