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On arbitrage-free pricing of weather derivatives based on fractional Brownian motion
Benth, Fred Espen - In: Applied mathematical finance 10 (2003) 4, pp. 302-324
Persistent link: https://www.econbiz.de/10001864238
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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
Persistent link: https://www.econbiz.de/10001864254
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Stochastic modelling of temperature variations with a view towards weather derivatives
Benth, Fred Espen; Šaltyté-Benth, Jūraté - In: Applied mathematical finance 12 (2005) 1, pp. 53-85
Persistent link: https://www.econbiz.de/10002727063
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Hedging of spatial temperature risk with market-traded futures
Barth, Andrea; Benth, Fred Espen; Potthoff, Jürgen - In: Applied mathematical finance 18 (2011) 1/2, pp. 93-117
Persistent link: https://www.econbiz.de/10009155488
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Pricing of spread options on a bivariate jump market and stability to model risk
Benth, Fred Espen; Di Nunno, Giulia; Khedher, Asma; … - In: Applied mathematical finance 22 (2015) 1/2, pp. 28-62
Persistent link: https://www.econbiz.de/10010505172
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A non-Gaussian-Ornstein-Uhlenbeck process for electricity spot price modeling and derivatives pricing
Benth, Fred Espen; Kallsen, Jan; Meyer-Brandis, Thilo - In: Applied mathematical finance 14 (2007) 2, pp. 153-169
Persistent link: https://www.econbiz.de/10003542981
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Valuing volatility and variance swaps for a non-Gaussian Ornstein-Uhlenbeck stochastic volatility model
Benth, Fred Espen; Groth, Martin; Kufakunesu, Rodwell - In: Applied mathematical finance 14 (2007) 4, pp. 347-363
Persistent link: https://www.econbiz.de/10003543050
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A non-Gaussian Ornstein-Uhlenbeck model for pricing wind power futures
Benth, Fred Espen; Pircalabu, Anca - In: Applied mathematical finance 25 (2018) 1/2, pp. 36-65
Persistent link: https://www.econbiz.de/10011959115