Search Results - subject:"Samuelson effect"

Empirical evidence of the market price of risk for delivery periods

Kemper, Annika; Schmeck, Maren Diane - In: Risks : open access journal 13 (2025) 1, pp. 1-20

MPDP. In presence of the Samuelson effect, we find the most pronounced MPDP close to maturity, while the MPDP disappears … proportional to the Samuelson effect far away from maturity. Thus, our theory improves the pricing accuracy close to maturity. …

Persistent link: https://www.econbiz.de/10015331183

Balassa-Samuelson in the Long Run : Qualitative Success, Quantitative Limits

Kikuchi, Shinnosuke - 2026

Persistent link: https://www.econbiz.de/10015603899

The market price of jump risk for delivery periods : pricing of electricity swaps with geometric averaging

Kemper, Annika; Schmeck, Maren Diane - In: Mathematics and financial economics 19 (2025) 2, pp. 293-327

Persistent link: https://www.econbiz.de/10015526414

The market price of jump risk for delivery periods: pricing of electricity swaps with geometric averaging

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...

Persistent link: https://www.econbiz.de/10015437981