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Paper / 2020SMQ / 218397106672593
The Market Price of Risk for Delivery Periods: Pricing Swaps and Options in Electricity Markets
Anna Kh. Balci / Annika Kemper / Maren D. Schmeck
derivatives / option pricingResource overview

The Market Price of Risk for Delivery Periods: Pricing Swaps and Options in Electricity Markets

Paper2020

by Anna Kh. Balci, Annika Kemper, Maren D. Schmeck

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derivativesoption pricing

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Suggested foundations for options and derivatives pricing. Specialist prerequisites vary by paper.

Before you read

  1. The Binomial Model

    Build replication and risk-neutral probabilities in a tractable model.

  2. Market Model and Risk-Neutral Valuation

    Distinguish pricing probabilities from physical forecasts.

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  1. The Black-Scholes PDE, Formula and Implied Volatility

    Connect the pricing equation, closed-form value and implied volatility.

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