A Numerical Method for Pricing Electricity Derivatives for Jump-Diffusion Processes Based on Continuous Time Lattices
Download full text from publisher
References listed on IDEAS
- Helyette Geman & A. Roncoroni, 2006. "Understanding the Fine Structure of Electricity Prices," Post-Print halshs-00144198, HAL.
- repec:dau:papers:123456789/1433 is not listed on IDEAS
- Hélyette Geman & Andrea Roncoroni, 2006. "Understanding the Fine Structure of Electricity Prices," The Journal of Business, University of Chicago Press, vol. 79(3), pages 1225-1262, May.
CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Weron, Rafał, 2014.
"Electricity price forecasting: A review of the state-of-the-art with a look into the future,"
International Journal of Forecasting,
Elsevier, vol. 30(4), pages 1030-1081.
- Rafal Weron, 2014. "Electricity price forecasting: A review of the state-of-the-art with a look into the future," HSC Research Reports HSC/14/07, Hugo Steinhaus Center, Wroclaw University of Technology.
- Mitra, Sovan & Date, Paresh & Mamon, Rogemar & Wang, I-Chieh, 2013. "Pricing and risk management of interest rate swaps," European Journal of Operational Research, Elsevier, vol. 228(1), pages 102-111.
- Niall Farrell, Mel T. Devine, William T. Lee, James P. Gleeson, and Sean Lyons, 2017.
"Specifying An Efficient Renewable Energy Feed-in Tariff,"
The Energy Journal,
International Association for Energy Economics, vol. 0(Number 2).
- Farrell, Niall & Devine, Mel & Lee, William & Gleeson, James & Lyons, Seán, 2013. "Specifying An Efficient Renewable Energy Feed-in Tariff," MPRA Paper 49777, University Library of Munich, Germany.
- Islyaev, Suren & Date, Paresh, 2015. "Electricity futures price models: Calibration and forecasting," European Journal of Operational Research, Elsevier, vol. 247(1), pages 144-154.
- Helyette Geman & Stelios Kourouvakalis, 2008. "A Lattice-Based Method for Pricing Electricity Derivatives Under the Threshold Model," Applied Mathematical Finance, Taylor & Francis Journals, vol. 15(5-6), pages 531-567.
- Kourouvakalis, Stylianos, 2008. "Méthodes numériques pour la valorisation d'options swings et autres problèmes sur les matières premières," Economics Thesis from University Paris Dauphine, Paris Dauphine University, number 123456789/116 edited by Geman, Hélyette.
More about this item
KeywordsElectricity derivatives; operator methods;
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
StatisticsAccess and download statistics
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:pra:mprapa:5245. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Joachim Winter) or (Rebekah McClure). General contact details of provider: http://edirc.repec.org/data/vfmunde.html .