Pricing electricity day-ahead cap futures with multifactor skew-t densities

DOI10.1080/14697688.2021.1984553zbMath1491.91149OpenAlexW4200306895MaRDI QIDQ5079374

Takuji Matsumoto, Yuji Yamada, Derek W. Bunn

Publication date: 27 May 2022

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

Full work available at URL: https://doi.org/10.1080/14697688.2021.1984553

zbMATH Keywords

hedgingelectricity pricesGAMLSScap futuresskew-t density

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

Uses Software

• Derivatives
• GAMLSS

Cites Work

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