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Pricing swing options in the electricity markets under regime-switching uncertainty
16 references·2 citing·38 second hop
Pricing swing options in the electricity markets under regime-switching uncertainty (2010)Pricing swing options in the electricity …“Options, Futures, and Other Derivatives” (2016)“Options, Futures, and Other …Valuation of Commodity-Based Swing Options (2004)Valuation of Commodity-Based …Modeling electricity prices: jump diffusion and regime switching (2004)Modeling electricity prices: …Regime jumps in electricity prices (2003)Regime jumps in electricity p…Options, Futures and Other Derivatives (2003)Options, Futures and Other De…Electricity Prices and Power Derivatives: Evidence from the Nordic Power Exchange (2002)Electricity Prices and Power …Valuing American Options by Simulation: A Simple Least-Squares Approach (2001)Valuing American Options by S…Real Options and Product Life Cycles (1999)Real Options and Product Life…Valuing Options in Regime-Switching Models (1998)Valuing Options in Regime-Swi…Optimal Replication of Options with Transactions Costs and Trading Restrictions (1993)Optimal Replication of Option…Multinomial Approximating Models for Options with k State Variables (1991)Multinomial Approximating Mod…Valuing Derivative Securities Using the Explicit Finite Difference Method (1990)Valuing Derivative Securities…Simple Binomial Processes as Diffusion Approximations in Financial Models (1990)Simple Binomial Processes as …Numerical Evaluation of Multivariate Contingent Claims (1989)Numerical Evaluation of Multi…A Lattice Framework for Option Pricing with Two State Variables (1988)A Lattice Framework for Optio…Option pricing: A simplified approach (1979)Option pricing: A simplified …Localized kernel-based approximation for pricing financial options under regime switching jump diffusion model (2018)Localized kernel-based approx…A Robust Numerical Scheme For Pricing American Options Under Regime Switching Based On Penalty Method (2013)A Robust Numerical Scheme For…The valuation of options for alternative stochastic processes (1976)Martingales and arbitrage in multiperiod securities markets (1979)Pricing Interest-Rate-Derivative Securities (1990)Pricing in Electricity Markets: A Mean Reverting Jump Diffusion Model with Seasonality (2005)Understanding the Fine Structure of Electricity Prices* (2006)Renewable energy investments under different support schemes: A real options approach (2012)The Pricing of Options and Corporate Liabilities (1973)An equilibrium characterization of the term structure (1977)A Theory of the Term Structure of Interest Rates (1985)The impact of default risk on the prices of options and other derivative securities (1995)Valuing American Options in a Path Simulation Model (2002)Theory of Rational Option Pricing (1973)Regression methods for pricing complex American-style options (2001)New frontiers for arch models (2002)Option Pricing Under a Double Exponential Jump Diffusion Model (2004)Theory of rational option pricing (2005)The American Put Option Valued Analytically (1984)The Pricing of Options on Assets with Stochastic Volatilities (1987)The Pricing of Options with Default Risk (1987)Primal-Dual Simulation Algorithm for Pricing Multidimensional American Options (2004)A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)Energy derivatives : pricing and risk management (2000)A spot market model for pricing derivatives in electricity markets (2004)Oil and gas markets in the UK: Evidence from a cointegrating approach (2006)Life cycle costing: a review of published case studies (2008)An Engine, Not a Camera (2006)Facts and Fantasies about Commodity Futures (2006)Introductory Econometrics for Finance (2008)Arbitrage Theory in Continuous Time (1998)A critical review on supply chain risk – Definition, measure and modeling (2014)Jump Diffusion Option Valuation in Discrete Time (1993)Numerical Valuation of High Dimensional Multivariate American Securities (1995)Resource relatedness, redeployability, and firm value (2013)Martingales and stochastic integrals in the theory of continuous trading (1981)Evaluating Natural Resource Investments (1985)Irreversibility, Uncertainty, and Investment (1990)A Simple Nonparametric Approach to Derivative Security Valuation (1996)Challenges to the practical implementation of modeling and valuing real options (1998)
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References

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  • 2016“Options, Futures, and Other Derivatives”5,007 cited
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  • 2001Valuing American Options by Simulation: A Simple Least-Squares Approach3,218 cited
  • 2002Electricity Prices and Power Derivatives: Evidence from the Nordic Power Exchange965 cited
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  • 2004Modeling electricity prices: jump diffusion and regime switching254 cited
  • 1998Valuing Options in Regime-Switching Models231 cited
  • 1993Optimal Replication of Options with Transactions Costs and Trading Restrictions208 cited

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1999
Real Options and Product Life Cycles
168 cited

Cited by

  • 2013A Robust Numerical Scheme For Pricing American Options Under Regime Switching Based On Penalty Method33 cited
  • 2018Localized kernel-based approximation for pricing financial options under regime switching jump diffusion model21 cited