Kemper, Annika; Schmeck, Maren Diane - In: Mathematics and Financial Economics 19 (2025) 2, pp. 293-327
In this paper, we extend the market price of risk for delivery periods (MPDP) of electricity swap contracts by introducing a dimension for jump risk. As introduced by Kemper et al. [ 30 ], the MPDP arises through the use of geometric averaging while pricing electricity swaps in a geometric...