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ENERGY SPOT PRICE MODELS AND SPREAD OPTIONS PRICING

https://doi.org/10.1142/s0219024907004573
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What this work says

Outgoing claims: the papers this work cites, builds on, or argues with.

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Options, Futures and Other Derivatives
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Martingales and stochastic integrals in the theory of continuous trading
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Pricing in Electricity Markets: A Mean Reverting Jump Diffusion Model with Seasonality
inferredcites →https://doi.org/10.1111/1468-0262.00164openalex-snapshot
Transform Analysis and Asset Pricing for Affine Jump-diffusions
inferredcites →https://doi.org/10.1111/j.1540-6261.1978.tb03397.xopenalex-snapshot
THE VALUE OF AN OPTION TO EXCHANGE ONE ASSET FOR ANOTHER
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Stochastic Convenience Yield and the Pricing of Oil Contingent Claims
inferredcites →https://doi.org/10.1137/s0036144503424798openalex-snapshot
Pricing and Hedging Spread Options
inferredcites →https://doi.org/10.1142/s0219024904002396openalex-snapshot
CALIBRATION OF MULTIFACTOR MODELS IN ELECTRICITY MARKETS
inferredcites →https://doi.org/10.1201/9780203485217openalex-snapshot
Financial Modelling with Jump Processes
inferredcites →https://doi.org/10.21314/jcf.1999.043openalex-snapshot
Option valuation using the fast Fourier transform
inferredcites →https://doi.org/10.23874/amber/2016/v7/i1/121351openalex-snapshot
“Options, Futures, and Other Derivatives”
inferredcites →https://doi.org/10.3905/jod.1994.407896openalex-snapshot
The Valuation of Commodity Contingent Claims

What points at this work

Incoming claims: where this work appears in other papers’ reference lists and arguments.

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Option Pricing Using Fourier Space Time-Stepping Framework
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Speculative Trading of Electricity Contracts in Interconnected Locations
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Pricing reliability options under different electricity price regimes
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A survey of electricity spot and futures price models for risk management applications
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Valuation of physical transmission rights—An analysis of electricity cross-border capacities between Germany and the Netherlands
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An analytical GARCH valuation model for spread options with default risk
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Using stochastic models to determine financial indicators and technical objectives for organic solar cells
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Freight derivatives pricing for decoupled mean-reverting diffusion and jumps
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A closed-form approximation for pricing spread options on futures under a mean-reverting spot price model with multiscale stochastic volatility
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Technical Note: Simulating the Two-Factor Schwartz and Smith Model of Commodity Prices
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Asymptotic Pricing of Commodity Derivatives using Stochastic Volatility Spot Models
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Towards a better design of electricity transmission rights
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Some Numerical Methods for Solving Stochastic Impulse Control in Natural Gas Storage Facilities
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Lévy-Based Cross-Commodity Models and Derivative Valuation
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Model Uncertainty in Commodity Markets
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A CHANGE OF MEASURE PRESERVING THE AFFINE STRUCTURE IN THE BARNDORFF-NIELSEN AND SHEPHARD MODEL FOR COMMODITY MARKETS
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Pricing spread options by generalized bivariate edgeworth expansion
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Optimizing Risk Projections in Commodity Derivatives: A Payoff-Structured Dimension Reduction Technique
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Modelo de Fatores para Commodities e Cenários de Preços no Curto Prazo: o caso da soja
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A Speculative Trading Model for the Electricity Market: Based on Japan Electric Power Exchange
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Algorithm Of Calculation Of Combined Commodity Options Value
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Crude Oil Exploration in the World
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A State-of-the-Art Review of Finance Research in Physical and Financial Trading Markets in Crude Oil
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