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ArticleA ‘simple’ hybrid model for power derivatives

Matthew R. Lyle2009

Article2009

A ‘simple’ hybrid model for power derivatives

Matthew R. Lyle · Robert James Elliott

41 citations·0/0 files stored·Energy Economics

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Stochastic processes and financial applications Electric Power System Optimization Energy Load and Power Forecasting

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References

2000Energy derivatives : pricing and risk management 2005Pricing in Electricity Markets: A Mean Reverting Jump Diffusion Model with Seasonality 2009Commodities and Commodity Derivatives: Modeling and Pricing for Agriculturals, Metals and Energy 2002A DIFFUSION MODEL FOR ELECTRICITY PRICES 2004A spot market model for pricing derivatives in electricity markets 2007Spot Price Modeling and the Valuation of Electricity Forward Contracts: The Role of Demand and Capacity 2008The price of power: The valuation of power and weather derivatives 2002Development of a hybrid model for electrical power spot prices

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2013Electricity Derivatives Pricing with Forward-Looking Information 2021A survey of electricity spot and futures price models for risk management applications

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Year2009

Typearticle

Published2009-06-03

VenueEnergy Economics

ISSN-L0140-9883

Languageen

Citations41

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1016/j.eneco.2009.05.007

openalex_workW2129281754

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