Utility indifference pricing and hedging for structured contracts in energy markets.
Giorgia CallegaroLuciano CampiValeria GiustoTiziano VargioluPublished in: Math. Methods Oper. Res. (2017)
Keyphrases
- financial markets
- spot market
- convertible bonds
- power generation
- stock market
- option pricing
- stock price
- risk management
- energy minimization
- energy consumption
- utility function
- black scholes
- social welfare
- energy saving
- structured data
- market prices
- low energy
- short term
- international trade
- supply chain
- real world
- pricing model
- pricing strategies
- trading strategies
- enterprise systems
- level set
- exchange rate