Zobrazeno 1 - 10
of 51
pro vyhledávání: '"Schmeck, Maren Diane"'
Autor:
Kemper, Annika, Schmeck, Maren Diane
In this paper, we extend the market price of risk for delivery periods (MPDP) of electricity swap contracts by introducing a dimension for jump risk. As introduced by Kemper et al. (2022), the MPDP arises through the use of geometric averaging while
Externí odkaz:
http://arxiv.org/abs/2303.12527
Publikováno v:
Decisions in Economics and Finance 44 (2021)
In this paper we propose and solve a real options model for the optimal adoption of an electric vehicle. A policymaker promotes the abeyance of fossil-fueled vehicles through an incentive, and the representative fossil-fueled vehicle's owner decides
Externí odkaz:
http://arxiv.org/abs/2012.09493
We provide an axiomatic approach to general premium principles in a probability-free setting that allows for Knightian uncertainty. Every premium principle is the sum of a risk measure, as a generalization of the expected value, and a deviation measu
Externí odkaz:
http://arxiv.org/abs/2006.14272
In this paper we introduce an additive two-factor model for electricity futures prices based on Normal Inverse Gaussian L\'evy processes, that fulfills a no-overlapping-arbitrage (NOA) condition. We compute European option prices by Fourier transform
Externí odkaz:
http://arxiv.org/abs/1910.01044
Publikováno v:
In Energy Economics September 2022 113
Autor:
LADOKHIN, SERGIY1 (AUTHOR), SCHMECK, MAREN DIANE2 (AUTHOR) maren.schmeck@uni-bielefeld.de, BOROVKOVA, SVETLANA1 (AUTHOR)
Publikováno v:
International Journal of Theoretical & Applied Finance. Aug/Sep2024, Vol. 27 Issue 5/6, p1-37. 37p.
Autor:
Schmeck, Maren Diane
Consider the problem of pricing options on forwards in energy markets, when spot prices follow a geometric multi-factor model in which several rates of mean reversion appear. In this paper we investigate the role played by slow mean reversion when pr
Externí odkaz:
http://arxiv.org/abs/1602.03402
Publikováno v:
In Insurance Mathematics and Economics September 2021 100:193-209
Publikováno v:
In Energy Economics March 2021 95
Publikováno v:
In Insurance Mathematics and Economics January 2021 96:98-115