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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

A mean-reverting model is proposed for the spot price dynamics of electricity which includes seasonality of the prices and spikes. The dynamics is a sum of non-Gaussian Ornstein-Uhlenbeck processes with jump processes giving the normal variations and spike behaviour of the prices. The amplitude...

Persistent link: https://www.econbiz.de/10005495417

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

The density process of the minimal entropy martingale measure in a stochastic volatility model with jumps

Benth, Fred Espen; Meyer-Brandis, Thilo - In: Finance and stochastics 9 (2005) 4, pp. 563-576

Persistent link: https://www.econbiz.de/10008214149

The density process of the minimal entropy martingale measure in a stochastic volatility model with jumps

Benth, Fred Espen; Meyer-Brandis, Thilo - In: Finance and stochastics 9 (2005) 4, pp. 563-575

Persistent link: https://www.econbiz.de/10003133280

Optimal portfolios for exponential Lévy processes

Kallsen, Jan - In: Mathematical methods of operations research 51 (2000) 3, pp. 357-374

Persistent link: https://www.econbiz.de/10001519649

A utility maximization approach to hedging in incomplete markets

Kallsen, Jan - In: Mathematical methods of operations research 50 (1999) 2, pp. 321-338

Persistent link: https://www.econbiz.de/10001428821

Utility-based derivative pricing in incomplete markets

Kallsen, Jan - In: Mathematical finance - Bachelier Congress, 2000 : …, (pp. 313-338). 2002

Persistent link: https://www.econbiz.de/10001679455

Derivative pricing based on local utility maximization

Kallsen, Jan - In: Finance and stochastics 6 (2002) 1, pp. 115-140

Persistent link: https://www.econbiz.de/10001643758

Option pricing

Kallsen, Jan - In: Handbook of financial time series, (pp. 599-613). 2009

Persistent link: https://www.econbiz.de/10003834189

How Duration Between Trades of Underlying Securities Affects Option Prices

Cartea, Álvaro; Meyer-Brandis, Thilo - 2009

We propose a model for stock price dynamics that explicitly incorporates random waiting times between trades, also known as duration, and show how option prices can be alculated using this model. We use ultra-high-frequency data for blue-chip companies to motivate a particular choice of...

Persistent link: https://www.econbiz.de/10015217542