A structural risk-neutral model for pricing and hedging power derivatives

Mathematical Finance

Volumn 23, Issue 3, 2013, Pages 387-438

  Aïd, René ^a   Campi, Luciano ^b   Langrené, Nicolas ^c  

^a EDF R and D and FiME   (France)

^b UNIVERSITÉ PARIS DAUPHINE   (France)

^c UNIVERSITÉ PARIS DESCARTES   (France)

Author keywords

Capacity; Electricity demand; Electricity spot and forward prices; Extended incomplete Goodwin Staton integral; Fuels; Local risk minimization; Minimal martingale measure; Power derivatives; Scarcity function; Spread options

Indexed keywords

EID: 84879003934     PISSN: 09601627     EISSN: 14679965     Source Type: Journal    
DOI: 10.1111/j.1467-9965.2011.00507.x     Document Type: Article

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