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Pricing of Electricity Swing Options
16 references·9 citing·26 second hop
Pricing of Electricity Swing Options (2004)Pricing of Electricity Swing OptionsStochastic 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…Stochastic Integration and Differential Equations (2005)Stochastic Integration and Di…Time-changed Lévy processes and option pricing (2003)Time-changed Lévy processes a…Energy and Power Risk Management (2002)Energy and Power Risk Managem…Exotic electricity options and the valuation of electricity generation and transmission assets (2001)Exotic electricity options an…Optimal portfolios for logarithmic utility (2000)Optimal portfolios for logari…The fundamental theorem of asset pricing for unbounded stochastic processes (1998)The fundamental theorem of as…Arbitrage Theory in Continuous Time (1998)Arbitrage Theory in Continuou…A general version of the fundamental theorem of asset pricing (1994)A general version of the fund…Dynamic Asset Pricing Theory. (1993)Dynamic Asset Pricing Theory.Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation (1992)Bond Pricing and the Term Str…Stochastic Differential Equations and Diffusion Processes (1983)Stochastic Differential Equat…Martingales and stochastic integrals in the theory of continuous trading (1981)Martingales and stochastic in…Martingales and arbitrage in multiperiod securities markets (1979)Martingales and arbitrage in …The pricing of commodity contracts (1976)The pricing of commodity cont…Selective hedging in hydro-based electricity companies (2013)Selective hedging in hydro-ba…Optimal quantization for the pricing of swing options (2012)Optimal quantization for the …How much should we pay for interconnecting electricity markets? A real options approach (2011)How much should we pay for in…WHEN ARE SWING OPTIONS BANG-BANG? (2010)WHEN ARE SWING OPTIONS BANG-B…A dual approach to multiple exercise option problems under constraints (2010)A dual approach to multiple e…Optimal Quantization for the Pricing of Swing Options (2009)Optimal Quantization for the …Pricing of Swing Options in a Mean Reverting Model with Jumps (2008)Pricing of Swing Options in a…Revenue management: A real options approach (2004)Revenue management: A real op…12 Modeling Electricity Forward Curve Dynamics in the Nordic Market (2004)12 Modeling Electricity Forwa…The Pricing of Options and Corporate Liabilities (1973)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)A Theory of the Term Structure of Interest Rates (1985)On modelling and pricing weather derivatives (2002)A numerical scheme for BSDEs (2004)Pricing in Electricity Markets: A Mean Reverting Jump Diffusion Model with Seasonality (2005)Theory of Rational Option Pricing (1973)Theory of rational option pricing (2005)The asymptotic elasticity of utility functions and optimal investment in incomplete markets (1999)Arbitrage Theory in Continuous Time (2004)Brownian Motion and Stochastic Calculus (2007)Tails, Fears, and Risk Premia (2011)Prospect theory: An analysis of decision under risk (1988)A YIELD‐FACTOR MODEL OF INTEREST RATES (1996)Introductory Econometrics for Finance (2008)Option pricing: A simplified approach (1979)Good News and Bad News: Representation Theorems and Applications (1981)Valuing American Options by Simulation: A Simple Least-Squares Approach (2001)Modeling Term Structures of Defaultable Bonds (1999)Transform Analysis and Asset Pricing for Affine Jump-diffusions (2000)The distribution of realized stock return volatility (2001)Backward Stochastic Differential Equations in Finance (1997)Controlled Markov Processes and Viscosity Solutions (2005)THE VALUE OF AN OPTION TO EXCHANGE ONE ASSET FOR ANOTHER (1978)Pricing Interest-Rate-Derivative Securities (1990)A Jump-Diffusion Model for Option Pricing (2002)
this work references cited by second hop

References

  • 2005Stochastic Integration and Differential Equations4,594 cited
  • 1983Stochastic Differential Equations and Diffusion Processes3,836 cited
  • 1979Martingales and arbitrage in multiperiod securities markets3,595 cited
  • 1992Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation3,170 cited
  • 1993Dynamic Asset Pricing Theory.2,891 cited
  • 1976The pricing of commodity contracts2,859 cited
  • 1981Martingales and stochastic integrals in the theory of continuous trading2,837 cited
  • 2008A General Version of the Fundamental Theorem of Asset Pricing (1994)1,568 cited
  • 1994A general version of the fundamental theorem of asset pricing1,447 cited
  • 1998Arbitrage Theory in Continuous Time1,267 cited
  • 1998The fundamental theorem of asset pricing for unbounded stochastic processes710 cited
  • 2014Stochastic Integration and Differential Equations : A New Approach686 cited
  • 2003Time-changed Lévy processes and option pricing674 cited
  • 2001Exotic electricity options and the valuation of electricity generation and transmission assets253 cited
  • 2002Energy and Power Risk Management239 cited

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  • 2000Optimal portfolios for logarithmic utility145 cited
  • Cited by

    • 2012Optimal quantization for the pricing of swing options54 cited
    • 2009Optimal Quantization for the Pricing of Swing Options51 cited
    • 2011How much should we pay for interconnecting electricity markets? A real options approach50 cited
    • 200412 Modeling Electricity Forward Curve Dynamics in the Nordic Market43 cited
    • 2010WHEN ARE SWING OPTIONS BANG-BANG?42 cited
    • 2010A dual approach to multiple exercise option problems under constraints35 cited
    • 2008Pricing of Swing Options in a Mean Reverting Model with Jumps34 cited
    • 2013Selective hedging in hydro-based electricity companies30 cited
    • 2004Revenue management: A real options approach29 cited