A change of measure preserving the affine structure in the BNS model for commodity markets
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References listed on IDEAS
- Fred Espen Benth & Salvador Ortiz-Latorre, 2013. "A pricing measure to explain the risk premium in power markets," Papers 1308.3378, arXiv.org.
- Eduardo Schwartz & James E. Smith, 2000. "Short-Term Variations and Long-Term Dynamics in Commodity Prices," Management Science, INFORMS, vol. 46(7), pages 893-911, July.
- Benth, Fred Espen & Cartea, Álvaro & Kiesel, Rüdiger, 2008.
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- Fred Espen Benth & Alvaro Cartea & Ruediger Kiesel, 2006. "Pricing Forward Contracts in Power Markets by the Certainty Equivalence Principle: Explaining the Sign of the Market Risk Premium," Birkbeck Working Papers in Economics and Finance 0611, Birkbeck, Department of Economics, Mathematics & Statistics.
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NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2014-03-22 (All new papers)
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