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A note on arbitrage-free pricing of forward contracts in energy markets

Benth, Fred Espen; Ekeland, Lars; Hauge, Ragnar; … - In: Applied Mathematical Finance 10 (2003) 4, pp. 325-336

Arbitrage theory is used to price forward (futures) contracts in energy markets, where the underlying assets are non-tradeable. The method is based on the so-called 'fitting of the yield curve' technique from interest rate theory. The spot price dynamics of Schwartz is generalized to...

Persistent link: https://www.econbiz.de/10005495373

Cointegrated commodity markets and pricing of derivatives in a non-Gaussian framework

Benth, Fred Espen - In: Advanced modelling in mathematical finance : in honour …, (pp. 477-496). 2016

Persistent link: https://www.econbiz.de/10011800392

A stochastic time-series model for solar irradiation

Larsson, Karl; Green, Rikard; Benth, Fred Espen - In: Energy economics 117 (2023), pp. 1-16

Persistent link: https://www.econbiz.de/10014437109

Pricing of temperature index insurance

Che Taib, Che Mohd Imran; Benth, Fred Espen - In: Review of development finance 2 (2012) 1, pp. 22-31

Persistent link: https://www.econbiz.de/10009579935

Analytical approximation for the price dynamics of spark spread options

Benth, Fred Espen (contributor); … - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 10 (2006) 3, pp. 1-26

Persistent link: https://www.econbiz.de/10003559113

Pricing and hedging of energy spread options and volatility modulated Volterra processes

Benth, Fred Espen; Zdanowicz, Hanna - In: International journal of theoretical and applied finance 19 (2016) 1, pp. 1-22

Persistent link: https://www.econbiz.de/10011453780

Pricing and hedging Asian-style options on energy

Benth, Fred Espen; Detering, Nils - In: Finance and stochastics 19 (2015) 4, pp. 849-889

Persistent link: https://www.econbiz.de/10011421055

Multivariate modeling and analysis of regional ocean freight rates

Adland, Roar; Benth, Fred Espen; Koekebakker, Steen - In: Transportation research / E : an international journal 113 (2018), pp. 194-221

Persistent link: https://www.econbiz.de/10011864108

A space-time random field model for electricity forward prices

Benth, Fred Espen; Paraschiv, Florentina - In: Journal of banking & finance 95 (2018), pp. 203-216

Persistent link: https://www.econbiz.de/10011966749

A regime-switching copula approach to modeling day-ahead prices in coupled electricity markets

Pircalabu, Anca; Benth, Fred Espen - In: Energy economics 68 (2017), pp. 283-302

Persistent link: https://www.econbiz.de/10011905725