An assessment of model risk in pricing wind derivatives
Giovani Gracianti, Rui Zhou, Johnny Siu-Hang Li and Xueyuan Wu
| Year of publication: |
2023
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|---|---|
| Authors: | Gracianti, Giovani ; Rui, Zhou ; Li, Johnny Siu-Hang ; Wu, Xueyuan |
| Published in: |
Annals of actuarial science. - Cambridge : Cambridge University Press, ISSN 1748-5002, ZDB-ID 2418917-0. - Vol. 17.2023, 3, p. 479-502
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| Subject: | conditional Esscher transform | generalized hyperbolic distribution | model risk | risk-neutral pricing | Wind derivative | wind speed modeling | Derivat | Derivative | Optionspreistheorie | Option pricing theory | Windenergie | Wind energy | Risiko | Risk | Statistische Verteilung | Statistical distribution | Modellierung | Scientific modelling | Risikomanagement | Risk management |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1017/S1748499523000192 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014436785