Multivariate continuous-time modeling of wind indexes and hedging of wind risk

DOI10.1080/14697688.2020.1804606zbMath1479.91390OpenAlexW3094387674MaRDI QIDQ5014183

Troels Sønderby Christensen, Fred Espen Benth, Victor Rohde

Publication date: 1 December 2021

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

Full work available at URL: https://doi.org/10.1080/14697688.2020.1804606

zbMATH Keywords

hedgingrisk premiummultivariate Ornstein-Uhlenbeck processwind power futures

Mathematics Subject Classification ID

Diffusion processes (60J60) Derivative securities (option pricing, hedging, etc.) (91G20) Portfolio theory (91G10)

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