Futures pricing in electricity markets based on stable CARMA spot models
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References listed on IDEAS
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- Benth, Fred Espen & Koekebakker, Steen, 2015. "Pricing of forwards and other derivatives in cointegrated commodity markets," Energy Economics, Elsevier, vol. 52(PA), pages 104-117.
- Fred Espen Benth & Hanna Zdanowicz, 2016. "Pricing And Hedging Of Energy Spread Options And Volatility Modulated Volterra Processes," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 19(01), pages 1-22, February.
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- Fred Benth & Nils Detering, 2015. "Pricing and hedging Asian-style options on energy," Finance and Stochastics, Springer, vol. 19(4), pages 849-889, October.
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- Awdesch Melzer & Wolfgang K. Härdle & Brenda López Cabrera, 2017. "Pricing Green Financial Products," SFB 649 Discussion Papers SFB649DP2017-020, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
- Fred Espen Benth & Asma Khedher & Mich`ele Vanmaele, 2017. "Pricing of commodity derivatives on processes with memory," Papers 1711.00307, arXiv.org.
- Fred Espen Benth & Heidar Eyjolfsson, 2015. "Representation and approximation of ambit fields in Hilbert space," Papers 1509.08272, arXiv.org.
- Benth, Fred Espen & Paraschiv, Florentina, 2016. "A Structural Model for Electricity Forward Prices," Working Papers on Finance 1611, University of St. Gallen, School of Finance.
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- repec:spr:aistmt:v:70:y:2018:i:2:d:10.1007_s10463-017-0601-5 is not listed on IDEAS
- Fred Espen Benth & Hanna Zdanowicz, 2014. "Pricing and hedging of energy spread options and volatility modulated Volterra processes," Papers 1409.5801, arXiv.org.
More about this item
KeywordsCARMA model; Electricity spot prices; Electricity futures prices; Continuous time linear model; Lévy process; Stable CARMA process; Risk premium; Robust filter;
- C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
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