The Risk Premium and the Esscher Transform in Power Markets-Reference-Cited by-同舟云学术

The Risk Premium and the Esscher Transform in Power Markets

Published:2012-01 Issue:1 Volume:30 Page:20-43
ISSN:0736-2994
Container-title:Stochastic Analysis and Applications
language:en
Short-container-title:Stochastic Analysis and Applications

Author:

Benth Fred Espen,Sgarra Carlo

Publisher

Informa UK Limited

Subject

Applied Mathematics,Statistics, Probability and Uncertainty,Statistics and Probability

Link

http://www.tandfonline.com/doi/pdf/10.1080/07362994.2012.628906

Reference30 articles.

1. Processes of normal inverse Gaussian type

2. A note on arbitrage‐free pricing of forward contracts in energy markets

3. Pricing forward contracts in power markets by the certainty equivalence principle: Explaining the sign of the market risk premium

4. A Non‐Gaussian Ornstein–Uhlenbeck Process for Electricity Spot Price Modeling and Derivatives Pricing

5. Benth , F.E. , Kiesel , R. , and Nazarova , A. 2009 . A critical empirical study of two spot price models for electricity. E-print.Energy Economics.

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