A Structural Risk-Neutral Model for Pricing and Hedging Power Derivatives
Year of publication: |
2013
|
---|---|
Authors: | Langrené, Nicolas ; Campi, Luciano ; Aïd, René |
Institutions: | Université Paris-Dauphine (Paris IX) |
Subject: | extended incomplete Goodwin–Staton integral | spread options | power derivatives | minimal martingale measure | local risk minimization | scarcity function | electricity demand | capacity | fuels | Electricity spot and forward prices |
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