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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

Penalty and front-fixing methods for the numerical solution of American option problems

Nielsen, Bjørn Fredrik; Skavhaug, Ola; Tveito, Aslak - In: The journal of computational finance 5 (2002) 4, pp. 69-97

Persistent link: https://www.econbiz.de/10001695837

Dynamic decision making for graphical models applied to oil exploration

Martinelli, Gabriele; Eidsvik, Jo; Hauge, Ragnar - In: European journal of operational research : EJOR 230 (2013) 3, pp. 688-702

Persistent link: https://www.econbiz.de/10009779845

Option theory with stochastic analysis : an introduction to mathematical finance

Benth, Fred Espen - 2004

Persistent link: https://www.econbiz.de/10001786485

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

On forward price modeling in power markets

Benth, Fred Espen - In: Alternative investments and strategies : credit, …, (pp. 93-122). 2010

Persistent link: https://www.econbiz.de/10008655206

The stochastic volatility model of Barndorff-Nielsen and Shephard in commodity markets

Benth, Fred Espen - In: Mathematical finance : an international journal of … 21 (2011) 4, pp. 595-625

Persistent link: https://www.econbiz.de/10009311688

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

Stochastic modeling of wind derivatives in energy markets

Benth, Fred Espen; Di Persio, Luca; Lavagnini, Silvia - In: Risks 6 (2018) 2, pp. 1-21

We model the logarithm of the spot price of electricity with a normal inverse Gaussian (NIG) process and the wind speed and wind power production with two Ornstein-Uhlenbeck processes. In order to reproduce the correlation between the spot price and the wind power production, namely between a...

Persistent link: https://www.econbiz.de/10011996614

Pricing of commodity derivatives on processes with memory

Benth, Fred Espen; Khedher, Asma; Vanmaele, Michèle - In: Risks 8 (2020) 1, pp. 1-32

Spot option prices, forwards and options on forwards relevant for the commodity markets are computed when the underlying process S is modelled as an exponential of a process xi with memory as, e.g., a Volterra equation driven by a Levy process. Moreover, the interest rate and a risk premium rho...

Persistent link: https://www.econbiz.de/10013200543