Risk premia in electricity derivatives markets
Bernardina Algieri, Arturo Leccadito, Diana Tunaru
| Year of publication: |
2021
|
|---|---|
| Authors: | Algieri, Bernardina ; Leccadito, Arturo ; Tunaru, Diana |
| Published in: |
Energy economics. - Amsterdam : Elsevier, ISSN 0140-9883, ZDB-ID 795279-X. - Vol. 100.2021, p. 1-15
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| Subject: | Electricity derivatives | Heston model | Probability forecasting | Risk premia | Risk-neutral density | Risikoprämie | Risk premium | Derivat | Derivative | Optionspreistheorie | Option pricing theory | Energiemarkt | Energy market | Prognoseverfahren | Forecasting model | Volatilität | Volatility | Strompreis | Electricity price | Elektrizität | Electricity |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.eneco.2021.105300 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012990257