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Pricing of Swing Options in a Mean Reverting Model with Jumps
16 references·4 citing·34 second hop
Pricing of Swing Options in a Mean Reverting Model with Jumps (2008)Pricing of Swing Options in a Mean Revert…Stochastic Integration and Differential Equations : A New Approach (2014)Stochastic Integration and Di…A General Version of the Fundamental Theorem of Asset Pricing (1994) (2008)A General Version of the Fund…A Non‐Gaussian Ornstein–Uhlenbeck Process for Electricity Spot Price Modeling and Derivatives Pricing (2007)A Non‐Gaussian Ornstein–Uhlen…Understanding the Fine Structure of Electricity Prices* (2006)Understanding the Fine Struct…Valuation of Commodity-Based Swing Options (2004)Valuation of Commodity-Based …Financial Modelling with Jump Processes (2003)Financial Modelling with Jump…Affine processes and applications in finance (2003)Affine processes and applicat…Electricity Prices and Power Derivatives: Evidence from the Nordic Power Exchange (2002)Electricity Prices and Power …Risk-Neutral Valuation: Pricing and Hedging of Financial Derivatives (2001)Risk-Neutral Valuation: Prici…Estimation of affine asset pricing models using the empirical characteristic function (2001)Estimation of affine asset pr…Risk-Neutral Valuation (1998)Risk-Neutral ValuationDerivatives: The Theory and Practice of Financial Engineering (1998)Derivatives: The Theory and P…A general version of the fundamental theorem of asset pricing (1994)A general version of the fund…A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)A Closed-Form Solution for Op…Stochastic Integration and Differential Equations (1990)Stochastic Integration and Di…Option pricing when underlying stock returns are discontinuous (1976)Option pricing when underlyin…A survey of electricity spot and futures price models for risk management applications (2021)A survey of electricity spot …Revenue Risk Allocation Mechanism in Public-Private Partnership Projects: Swing Option Approach (2020)Revenue Risk Allocation Mecha…Modelling electricity prices: a time change approach (2016)Modelling electricity prices:…On the optimal exercise of swing options in electricity markets (2011)On the optimal exercise of sw…The Pricing of Options and Corporate Liabilities (1973)A Theory of the Term Structure of Interest Rates (1985)Arbitrage Theory in Continuous Time (2004)Hawkes Processes in Finance (2015)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)Renewable energy investments under different support schemes: A real options approach (2012)Theory of Rational Option Pricing (1973)Empirical Performance of Alternative Option Pricing Models (1997)Transform Analysis and Asset Pricing for Affine Jump-diffusions (2000)The Cross‐Section of Volatility and Expected Returns (2006)The asymptotic elasticity of utility functions and optimal investment in incomplete markets (1999)Theory of rational option pricing (2005)Brownian Motion and Stochastic Calculus (2007)Tails, Fears, and Risk Premia (2011)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Option pricing: A simplified approach (1979)The Value of Waiting to Invest (1982)The Pricing of Options on Assets with Stochastic Volatilities (1987)The Relative Contribution of Jumps to Total Price Variance (2005)A Novel Pricing Method for European Options Based on Fourier-Cosine Series Expansions (2008)What's Vol Got to Do with It (2010)Value at Risk (2000)An introduction to statistical finance (2002)An evolutionary heuristic for the index tracking problem (2003)Option pricing by Esscher transforms. (1995)Estimating quadratic variation using realized variance (2002)Common Failings: How Corporate Defaults Are Correlated (2007)Arbitrage Theory in Continuous Time (1998)Term Structures of Credit Spreads with Incomplete Accounting Information (2001)Over-the-Counter Markets (2004)
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References

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  • 2004Valuation of Commodity-Based Swing Options276 cited
  • 2007A Non‐Gaussian Ornstein–Uhlenbeck Process for Electricity Spot Price Modeling and Derivatives Pricing244 cited
  • 2001Risk-Neutral Valuation: Pricing and Hedging of Financial Derivatives

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208 cited
  • 1998Risk-Neutral Valuation158 cited
  • Cited by

    • 2020Revenue Risk Allocation Mechanism in Public-Private Partnership Projects: Swing Option Approach41 cited
    • 2021A survey of electricity spot and futures price models for risk management applications33 cited
    • 2016Modelling electricity prices: a time change approach27 cited
    • 2011On the optimal exercise of swing options in electricity markets26 cited