Vitenskapelig artikkel   2003

Benth, Fred Espen; Ekeland, Lars; Hauge, Ragnar; Nielsen, Bjørn Fredrik

Publikasjonsdetaljer

Tidsskrift:

Applied Mathematical Finance, vol. 10, p. 325–336, 2003

Utgiver:

Taylor & Francis

Utgave:

4

Internasjonale standardnumre:

Trykt: 1350-486X
Elektronisk: 1466-4313

Lenker:

DOI: doi.org/10.1080/1350486032000160777

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 Lévy noise. Findings are illustrated with examples from oil and electricity markets.