A new approach to wind power futures pricing
type: Item
instance of: scholarly article
title: A new approach to wind power futures pricing
zbMATH Open document ID: 1480.91289
author: Yanyan Li
published in: Decisions in Economics and Finance
publication date: 2022-01-06T00:00:00Z
Mathematics Subject Classification ID: 91G20
Mathematics Subject Classification ID: 60J74
Mathematics Subject Classification ID: 60G51
zbMATH DE Number: 7452736
zbMATH Keywords: wind power futures
zbMATH Keywords: wind power production index
zbMATH Keywords: arithmetic multi-factor model
zbMATH Keywords: pure-jump Ornstein-Uhlenbeck process
zbMATH Keywords: Lévy-type process
zbMATH Keywords: Fourier transform
zbMATH Keywords: stochastic differential equation
zbMATH Keywords: risk premium
MaRDI profile type: Publication
full work available at URL: s10203-021-00345-8
OpenAlex ID: W3204134300
cites work: Lévy Processes and Stochastic Calculus
cites work: Multivariate continuous-time modeling of wind indexes and hedging of wind risk
cites work: A Non‐Gaussian Ornstein–Uhlenbeck Process for Electricity Spot Price Modeling and Derivatives Pricing
cites work: A non-Gaussian Ornstein–Uhlenbeck model for pricing wind power futures
cites work: Modeling and Pricing in Financial Markets for Weather Derivatives
cites work: Q3521355
cites work: Financial Modelling with Jump Processes
cites work: Modeling and pricing precipitation derivatives under weather forecasts
cites work: PRICING TEMPERATURE DERIVATIVES UNDER WEATHER FORECASTS
cites work: Q4778955
cites work: A mixed C-vine copula model for hedging price and volumetric risk in wind power trading
cites work: Q4937701
cites work: Optimal Trading Policies for Wind Energy Producer
DOI: 10.1007/S10203-021-00345-8
description: scientific article; zbMATH DE number 7452736