Search Results for author: Maren D. Schmeck

Found 1 papers, 0 papers with code

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

no code implementations18 Feb 2020 Annika Kemper, Maren D. Schmeck, Anna Kh. Balci

Furthermore, we use a weighted geometric averaging of an artificial geometric futures price over the corresponding delivery period.

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