Narrow search
Showing 1 - 10 of 72
Cover Image
Pricing of commodity derivatives on processes with memory
Benth, Fred Espen; Khedher, Asma; Vanmaele, Michèle - In: Risks : open access journal 8 (2020) 1/8, pp. 1-32
Spot option prices, forwards and options on forwards relevant for the commodity markets are computed when the underlying process S is modelled as an exponential of a process xi with memory as, e.g., a Volterra equation driven by a Levy process. Moreover, the interest rate and a risk premium rho...
Persistent link: https://www.econbiz.de/10012204043
Cover Image
A critical view on temperature modelling for application in weather derivatives markets
Saltyte Benth, Jurate; Benth, Fred Espen - In: Energy economics 34 (2012) 2, pp. 592-602
Persistent link: https://www.econbiz.de/10009618677
Cover Image
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
Cover Image
Utility Indifference Pricing of Interest-Rate Guarantees
Benth, Fred Espen - 2009
tradeable and non-tradeable asset, and we demonstrate that negative correlation is advantageous, in the sense that the hedging …
Persistent link: https://www.econbiz.de/10013153475
Cover Image
The Implied Risk Aversion from Utility Indifference Option Pricing in a Stochastic Volatility Model
Benth, Fred Espen - 2009
The academic interest in utility indifference based approaches to derivative pricing in incomplete markets has grown …
Persistent link: https://www.econbiz.de/10013155782
Cover Image
Pricing of Asian temperature risk
Benth, Fred Espen; Härdle, Wolfgang; Cabrera, Brenda López - 2009
weather derivative market does not exist. The findings support theoretical results of reverse relation between MPR and …
Persistent link: https://www.econbiz.de/10003893132
Cover Image
A critical empirical study of three electricity spot price models
Benth, Fred Espen; Kiesel, Rüdiger; Nazarova, Anna - In: Energy economics 34 (2012) 5, pp. 1589-1616
Persistent link: https://www.econbiz.de/10009687984
Cover Image
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
Cover Image
Pricing of spread options on a bivariate jump market and stability to model risk
Benth, Fred Espen; Di Nunno, Giulia; Khedher, Asma; … - In: Applied mathematical finance 22 (2015) 1/2, pp. 28-62
Persistent link: https://www.econbiz.de/10010505172
Cover Image
On arbitrage-free pricing of weather derivatives based on fractional Brownian motion
Benth, Fred Espen - In: Applied mathematical finance 10 (2003) 4, pp. 302-324
Persistent link: https://www.econbiz.de/10001864238