The market price of risk for delivery periods : pricing swaps and options in electricity markets
Annika Kemper, Maren Diane Schmeck, Anna Kh.Balci
| Year of publication: |
2022
|
|---|---|
| Authors: | Kemper, Annika ; Schmeck, Maren Diane ; Kh.Balci, Anna |
| Published in: |
Energy economics. - Amsterdam : Elsevier, ISSN 0140-9883, ZDB-ID 795279-X. - Vol. 113.2022, p. 1-14
|
| Subject: | Delivery period | Electricity swaps | Market price of delivery risk | Option pricing | Samuelson effect | Seasonality | Stochastic volatility | Swap | Optionspreistheorie | Option pricing theory | Derivat | Derivative | Volatilität | Volatility | Strompreis | Electricity price | Elektrizitätswirtschaft | Electric power industry | Risikoprämie | Risk premium | Rohstoffderivat | Commodity derivative | Stochastischer Prozess | Stochastic process |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.eneco.2022.106221 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10013540564