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A Non-Gaussian Ornstein-Uhlenbeck Process for Electricity Spot Price Modeling and Derivatives Pricing

Benth, Fred Espen; Kallsen, Jan; Meyer-Brandis, Thilo - In: Applied Mathematical Finance 14 (2007) 2, pp. 153-169

dynamics ensures that spot prices are positive, and that the dynamics is simple enough to allow for analytical pricing of … electricity forward and futures contracts. Electricity forward and futures contracts have the distinctive feature of delivery over … sufficiently flexible to capture the observed dynamics of electricity spot prices. The pricing of European call and put options …

Persistent link: https://www.econbiz.de/10005495417

Optimal Portfolios in commodity futures markets

Benth, Fred Espen; Lempa, Jukka - In: Finance and stochastics 18 (2014) 2, pp. 407-430

Persistent link: https://www.econbiz.de/10010340676

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

Calibration of temperature futures by changing the mean reversion

Benth, Fred Espen; Ortiz-Latorre, Salvador - In: The journal of energy markets 10 (2017) 1, pp. 1-25

Persistent link: https://www.econbiz.de/10011999391

Special issue: weather derivatives

Benth, Fred Espen (ed.) - 2018

Persistent link: https://www.econbiz.de/10012001956

Pricing of forwards and other derivatives in cointegrated commodity markets

Benth, Fred Espen; Koekebakker, Steen - In: Energy economics 52 (2015) 1, pp. 104-117

Persistent link: https://www.econbiz.de/10011568135

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

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

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

process (xi; rho) has an affine structure under the pricing measure Q and an explicit expression for the option price is …

Persistent link: https://www.econbiz.de/10012204043

A structural model for electricity forward prices

Benth, Fred Espen; Paraschiv, Florentina - 2016

Persistent link: https://www.econbiz.de/10011686556