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Pricing analysis of wind power derivatives for renewable energy risk management
11 references·0 citing·44 second hop
Pricing analysis of wind power derivatives for renewable energy risk management (2021)Pricing analysis of wind power derivative…Stochastic Modeling of Wind Derivatives in Energy Markets (2018)Stochastic Modeling of Wind D…A non-Gaussian Ornstein–Uhlenbeck model for pricing wind power futures (2018)A non-Gaussian Ornstein–Uhlen…An equilibrium pricing model for weather derivatives in a multi-commodity setting (2009)An equilibrium pricing model …Portfolio Effects and Valuation of Weather Derivatives (2006)Portfolio Effects and Valuati…Weather derivatives valuation and market price of weather risk (2004)Weather derivatives valuation…A Fair Pricing Approach to Weather Derivatives (2004)A Fair Pricing Approach to We…Equilibrium Pricing and Optimal Hedging in Electricity Forward Markets (2002)Equilibrium Pricing and Optim…Pricing weather derivatives by marginal value (2001)Pricing weather derivatives b…Beyond Arbitrage: Good‐Deal Asset Price Bounds in Incomplete Markets (2000)Beyond Arbitrage: Good‐Deal A…Beyond Arbitrage: "Good-Deal" Asset Price Bounds in Incomplete Markets (1996)Beyond Arbitrage: "Good-Deal"…Testing the null hypothesis of stationarity against the alternative of a unit root (1992)Testing the null hypothesis o…Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Distribution of the Estimators for Autoregressive Time Series With a Unit Root (1979)Testing for a Unit Root in Time Series Regression (1988)A Comparative Study of Unit Root Tests with Panel Data and a New Simple Test (1999)Unit root tests for panel data (2001)Modelling Asymmetric Cointegration and Dynamic Multipliers in a Nonlinear ARDL Framework (2014)The Pricing of Options and Corporate Liabilities (1973)Theory of Rational Option Pricing (1973)Theory of rational option pricing (2005)Weather Derivatives and Stochastic Modelling of Temperature (2011)Asset Prices in an Exchange Economy (1978)The equity premium: A puzzle (1985)The pricing of temperature futures at the Chicago Mercantile Exchange (2009)The Implied Market Price of Weather Risk (2011)A comparison of regime-switching temperature modeling approaches for applications in weather derivatives (2013)Option pricing when underlying stock returns are discontinuous (1976)Stock prices and the Wall Street weather (1993)Good Day Sunshine: Stock Returns and the Weather (2003)Mean–Variance Hedging (2010)THE VALUE OF AN OPTION TO EXCHANGE ONE ASSET FOR ANOTHER (1978)Pricing Weather Derivatives (2004)Stochastic Modelling of Temperature Variations with a View Towards Weather Derivatives (2005)The volatility of temperature and pricing of weather derivatives (2007)Option valuation using the fast Fourier transform (1999)Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics (2001)Weather Forecasting for Weather Derivatives (2005)How to design a dynamic feed-in tariffs mechanism for renewables – a real options approach (2019)The Stochastic Behavior of Commodity Prices: Implications for Valuation and Hedging (1997)Financial Modelling with Jump Processes (2003)Lévy Processes and Stochastic Calculus (2009)Wind Put Barrier Options Pricing Based on the Nordix Index (2021)Common risk factors in the returns on stocks and bonds (1993)Investment under Uncertainty (1994)Empirical option pricing: a retrospection (2003)The Recovery Theorem (2011)Interpreting Factor Models (2018)The Determinants of Firms' Hedging Policies (1985)Managerial discretion and optimal financing policies (1990)Risk Management: Coordinating Corporate Investment and Financing Policies (1993)Measuring Duopoly Power in the British Electricity Spot Market (1999)A spot market model for pricing derivatives in electricity markets (2004)Limits to arbitrage and hedging: Evidence from commodity markets (2013)Losing Money on Arbitrage: Optimal Dynamic Portfolio Choice in Markets with Arbitrage Opportunities (2003)Price Manipulation and Quasi-Arbitrage (2004)
this work references cited by second hop

References

  • 1992Testing the null hypothesis of stationarity against the alternative of a unit root12,634 cited
  • 2002Equilibrium Pricing and Optimal Hedging in Electricity Forward Markets726 cited
  • 2000Beyond Arbitrage: Good‐Deal Asset Price Bounds in Incomplete Markets419 cited
  • 1996Beyond Arbitrage: "Good-Deal" Asset Price Bounds in Incomplete Markets405 cited
  • 2001Pricing weather derivatives by marginal value214 cited
  • 2004Weather derivatives valuation and market price of weather risk209 cited
  • 2004A Fair Pricing Approach to Weather Derivatives54 cited
  • 2018Stochastic Modeling of Wind Derivatives in Energy Markets46 cited
  • 2018A non-Gaussian Ornstein–Uhlenbeck model for pricing wind power futures42 cited
  • 2006Portfolio Effects and Valuation of Weather Derivatives38 cited
  • 2009An equilibrium pricing model for weather derivatives in a multi-commodity setting35 cited

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