first
prev
toc
next
last
Download Citation
Recommend
Mark
Alert
Link
Print
A note on arbitrage-free pricing of forward contracts in energy markets
Authors:
Fred Espen Benth a;
Lars Ekeland b;
Ragnar Hauge c;
Bj
Rn Fredrik Nielsen d
Rn Fredrik Nielsen d
| Affiliations: | a Centre of Mathematics for Applications, Department of Mathematics, University of Oslo, Blindern, N-0316 Oslo, Norway |
| b Norsk Hydro ASA, N-0240 Oslo, Norway | |
| c Norwegian Computing Centre, Blindern, N-0314 Oslo, Norway | |
| d Simula Research Laboratory, N-1325 Lysaker, Norway |
DOI:
10.1080/1350486032000160777
Publication Frequency:
6 issues per year
Formats available:
PDF
(English)
Article Requests:
Order Reprints
:
Request Permissions
-
Purchase Article options: (hide options)
-
Sign In
- Online Sample
| purchase type | customer type | online access | payment method | price | |
| Single Article Purchase | Any | 3 days, 1 user, 3 cookies | credit card | US$30.00 |
buy now  add to cart 
|
| Issue Purchase | Any | permanent | credit card | US$467.23 |
buy now add to cart
|
If you would like to pay in any other currency please see the purchasing help pages for more information.
If you are an agent wanting to subscribe on behalf of your customer please contact our subscriptions department on the following email address: subscriptions@tandf.co.uk
View Article:
View Article (PDF)
Abstract
Arbitrage theory is used to price forward (futures) contracts in energy markets, where the underlying assets are non-tradeable. The method is based on the so-called 'fitting of the yield curve' technique from interest rate theory. The spot price dynamics of Schwartz is generalized to multidimensional correlated stochastic processes with Wiener and L
 vy noise. Findings are illustrated with examples from oil and electricity markets.
|
|
Keywords:
incomplete markets;
forward pricing;
energy markets;
no-arbitrage pricing;
Lvy processes
|
| view citations (2) |
|
Bookmark with:
|
CiteULike
Del.icio.us
BibSonomy
Connotea
More bookmarks
