کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
1714014 1013261 2008 25 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
The non-Markovian approach to the valuation and hedging of European contingent claims on power with scaling spikes
موضوعات مرتبط
مهندسی و علوم پایه سایر رشته های مهندسی کنترل و سیستم های مهندسی
پیش نمایش صفحه اول مقاله
The non-Markovian approach to the valuation and hedging of European contingent claims on power with scaling spikes
چکیده انگلیسی

We present and further develop a new approach to modeling power prices with spikes proposed earlier by the author. In contrast to other approaches, we model power prices with spikes as a non-Markovian stochastic process that allows for modeling spikes directly as self-reversing jumps. We show how this approach can be used to value European contingent claims on power with spikes as well as to value and dynamically hedge European contingent claims on forwards on power for power with spikes in a practically important special case of the scaling probability distribution for the magnitude of spikes.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Nonlinear Analysis: Hybrid Systems - Volume 2, Issue 2, June 2008, Pages 285–309
نویسندگان
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