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Futures pricing in electricity markets based on stable CARMA spot models
Benth, Fred Espen; Klüppelberg, Claudia; Müller, Gernot; … - In: Energy economics 44 (2014), pp. 392-406
Persistent link: https://www.econbiz.de/10010457150
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A quasi-Monte Carlo algorithm for the normal inverse Gaussian distribution and valuation of financial derivatives
Benth, Fred Espen; Groth, Martin; Kettler, Paul C. - In: International journal of theoretical and applied finance 9 (2006) 6, pp. 843-867
Persistent link: https://www.econbiz.de/10003380284
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Pricing forward contracts in power markets by the certainty equivalence principle : explaining the sign of the market risk premium
Benth, Fred Espen; Cartea, Álvaro; Kiesel, Rüdiger - In: Journal of banking & finance 32 (2008) 10, pp. 2006-2021
Persistent link: https://www.econbiz.de/10003778569
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Dynamic pricing of wind futures
Benth, Fred Espen; Saltyte Benth, Jurate - In: Energy economics 31 (2009) 1, pp. 16-24
Persistent link: https://www.econbiz.de/10003803647
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Pricing forward contracts in power markets by the certainty equivalence principle : explaining the sign of the market risk premium
Benth, Fred Espen (contributor); Cartea, Álvaro (contributor) - 2006
Persistent link: https://www.econbiz.de/10003384971
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Utility indifference pricing of interest-rate guarantees
Benth, Fred Espen; Proske, Frank - In: International journal of theoretical and applied finance 12 (2009) 1, pp. 63-82
Persistent link: https://www.econbiz.de/10003847563
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Pricing of exotic energy derivatives based on arithmetic spot models
Benth, Fred Espen; Kufakunesu, Rodwell - In: International journal of theoretical and applied finance 12 (2009) 4, pp. 491-506
Persistent link: https://www.econbiz.de/10003879078
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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
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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