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q-fin.PR2023★ 1 cited
The Market Price of Jump Risk for Delivery Periods: Pricing of Electricity Swaps with Geometric Averaging
Annika Kemper, Maren Diane Schmeck
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.…
q-fin.PR2020★ 2 cited
The Market Price of Risk for Delivery Periods: Pricing Swaps and Options in Electricity Markets
Annika Kemper, Maren D. Schmeck, Anna Kh. Balci
In electricity markets, futures contracts typically function as a swap since they deliver the underlying over a period of time. In this paper, we introduce a market price for the d…