A Structural Risk-Neutral Model for Pricing and Hedging Power Derivatives
Date
2013Link to item file
http://hal.archives-ouvertes.fr/hal-00525800/fr/Dewey
Economie financièreSujet
extended incomplete Goodwin–Staton integral; spread options; power derivatives; minimal martingale measure; local risk minimization; scarcity function; electricity demand; capacity; fuels; Electricity spot and forward pricesJEL code
G1; Q41Journal issue
Mathematical FinanceVolume
23Number
3Publication date
2013Article pages
387-438Publisher
WileyCollections
Metadata
Show full item recordAuthor
Langrené, Nicolas
Campi, Luciano
Aïd, René