Pricing of electricity swaps with geometric averaging
Year of publication: |
2023
|
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Authors: | Kemper, Annika ; Schmeck, Maren Diane |
Publisher: |
Bielefeld : Bielefeld University, Center for Mathematical Economics (IMW) |
Subject: | Electricity Swaps | Delivery Period | MPDP for Diffusion and Jump Risk | Mean-Reversion | Jumps | Samuelson Effect | Seasonality |
Series: | |
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Type of publication: | Book / Working Paper |
Type of publication (narrower categories): | Working Paper |
Language: | English |
Other identifiers: | 1845646606 [GVK] hdl:10419/278466 [Handle] |
Classification: | G13 - Contingent Pricing; Futures Pricing ; Q40 - Energy. General |
Source: |
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Pricing of electricity swaps with geometric averaging
Kemper, Annika, (2023)
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The market price of risk for delivery periods: Pricing swaps and options in electricity markets
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The market price of risk for delivery periods : pricing swaps and options in electricity markets
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The market price of risk for delivery periods: Pricing swaps and options in electricity markets
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Pricing of electricity swaps with geometric averaging
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The market price of risk for delivery periods : pricing swaps and options in electricity markets
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