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Pricing Power Derivatives: A Two-Factor Jump-Diffusion Approach · Study

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PreprintPricing Power Derivatives: A Two-Factor Jump-Diffusion Approach

Pablo Villaplana2004

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Preprintgreen2004

Pricing Power Derivatives: A Two-Factor Jump-Diffusion Approach

Pablo Villaplana

58 citations·0/0 files stored·SSRN Electronic Journal

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Stochastic processes and financial applications Market Dynamics and Volatility Energy Load and Power Forecasting

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References

1993A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options 2000Transform Analysis and Asset Pricing for Affine Jump-diffusions 1997The Stochastic Behavior of Commodity Prices: Implications for Valuation and Hedging 2002The jump-risk premia implicit in options: evidence from an integrated time-series study 2000Short-Term Variations and Long-Term Dynamics in Commodity Prices 2002Electricity Prices and Power Derivatives: Evidence from the Nordic Power Exchange 2002Equilibrium Pricing and Optimal Hedging in Electricity Forward Markets 1999Transform Analysis and Asset Pricing for Affine Jump-Diffusions

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2008A multi-factor jump-diffusion model for commodities†2015Electricity futures price models: Calibration and forecasting 2021A survey of electricity spot and futures price models for risk management applications 2007Using Affine Jump Diffusion Models for Modelling and Pricing Electricity Derivatives 2014Risk Premium in Electricity Prices: Evidence from the PJM Market

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Details

Year2004

Typepreprint

Published2004-01-01

VenueSSRN Electronic Journal

ISSN-L1556-5068

Languageen

Citations58

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.2139/ssrn.493943

openalex_workW1520848754

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