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Pricing and hedging Asian-style options on energy

Benth, Fred Espen; Detering, Nils - In: Finance and stochastics 19 (2015) 4, pp. 849-889

Persistent link: https://www.econbiz.de/10011421055

Pricing and hedging of energy spread options and volatility modulated Volterra processes

Benth, Fred Espen; Zdanowicz, Hanna - In: International journal of theoretical and applied finance 19 (2016) 1, pp. 1-22

Persistent link: https://www.econbiz.de/10011453780

Quantitative energy finance : modeling, pricing, and hedging in energy and commodity markets

Benth, Fred Espen (ed.) - 2014

Persistent link: https://www.econbiz.de/10011459115

Stochastic modeling of wind derivatives in energy markets

Benth, Fred Espen; Di Persio, Luca; Lavagnini, Silvia - In: Risks : open access journal 6 (2018) 2, pp. 1-21

We model the logarithm of the spot price of electricity with a normal inverse Gaussian (NIG) process and the wind speed and wind power production with two Ornstein–Uhlenbeck processes. In order to reproduce the correlation between the spot price and the wind power production, namely between a...

Persistent link: https://www.econbiz.de/10011867386

Approximation of forward curve models in commodity markets with arbitrage-free finite-dimensional models

Benth, Fred Espen; Krühner, Paul - In: Finance and stochastics 22 (2018) 2, pp. 327-366

Persistent link: https://www.econbiz.de/10011945791

Quasi Monte-Carlo evaluation of sensitivities of options in commodity and energy markets

Benth, Fred Espen; Dahl, Lars O.; Hvistendahl Karlsen, … - In: International journal of theoretical and applied finance 6 (2003) 8, pp. 865-884

Persistent link: https://www.econbiz.de/10001862191

A note on arbitrage-free pricing of forward contracts in energy markets

Benth, Fred Espen; Ekeland, Lars; Hauge, Ragnar; … - In: Applied mathematical finance 10 (2003) 4, pp. 325-336

Persistent link: https://www.econbiz.de/10001864254

The normal inverse gaussian distribution and spot price modelling in energy markets

Benth, Fred Espen; Šaltytė-Benth, Jūratė - In: International journal of theoretical and applied finance 7 (2004) 2, pp. 177-192

Persistent link: https://www.econbiz.de/10002021511

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

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