The Risk Premium and the Esscher Transform in Power Markets

Stochastic Analysis and Applications

Volumn 30, Issue 1, 2012, Pages 20-43

  Benth, Fred Espen ^a,b   Sgarra, Carlo ^c  

^a UNIVERSITY OF OSLO   (Norway)

^b UNIVERSITY OF AGDER   (Norway)

^c POLITECNICO DI MILANO   (Italy)

Author keywords

Derivatives pricing; Esscher transform; Independent increments processes; Power market; Risk premium

Indexed keywords

EID: 84855419211     PISSN: 07362994     EISSN: 15329356     Source Type: Journal    
DOI: 10.1080/07362994.2012.628906     Document Type: Article

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