Citation map · Study

SZodixStudyAcademic Library

Shelves Open access

Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated

Pricing electricity derivatives under alternative stochastic spot price models

7 references·7 citing·39 second hop

FromToDepth

this work references cited by second hop

References

1973The Pricing of Options and Corporate Liabilities29,064 cited
1993A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options8,768 cited
1977An equilibrium characterization of the term structure6,104 cited
1979Martingales and arbitrage in multiperiod securities markets3,595 cited
1996A YIELD‐FACTOR MODEL OF INTEREST RATES2,498 cited
1997The Stochastic Behavior of Commodity Prices: Implications for Valuation and Hedging2,116 cited
2001Exotic electricity options and the valuation of electricity generation and transmission assets253 cited

Cited by

2008Recursive computation of the invariant measure of a stochastic differential equation driven by a Lévy process51 cited
2006Modelling electricity prices by the potential jump-diffusion46 cited
2007The pricing of electricity futures: Evidence from the European energy exchange46 cited
2002Basics of electricity derivative pricing in competitive markets45 cited
2015Electricity futures price models: Calibration and forecasting40 cited
2003A Threshold Autoregressive Model for Wholesale Electricity Prices39 cited
2007Real options in the energy markets21 cited

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work