Futures pricing in electricity markets based on stable CARMA spot models

Author:

Benth Fred Espen,Klüppelberg Claudia,Müller Gernot,Vos Linda

Publisher

Elsevier BV

Subject

General Energy,Economics and Econometrics

Reference36 articles.

1. Processes of normal inverse Gaussian type;Barndorff-Nielsen;Finance Stochast.,1998

2. The risk premium and the Esscher transform in power markets;Benth;Stoch. Anal. Appl.,2012

3. A non-Gaussian Ornstein-Uhlenbeck process for electricity spot price modeling and derivatives pricing;Benth;Appl. Math. Financ.,2007

4. Stochastic Modelling of Electricity and Related Markets;Benth,2008

5. Pricing forward contracts in power markets by the certainty equivalence principle;Benth;J. Bank. Financ.,2008

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