Pricing of Forwards and Swaps Based on the Spot Price

Fred Espen Benth, Jūratė Šaltytė Benth and Steen Koekebakker
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Fred Espen Benth: University of Oslo, Norway
Jūratė Šaltytė Benth: University of Oslo, Norway
Steen Koekebakker: University of Agder, Norway

Chapter 4 in Stochastic Modeling of Electricity and Related Markets, 2008, pp 89-127 from World Scientific Publishing Co. Pte. Ltd.

Abstract: AbstractThe following sections are included:Risk-neutral forward and swap price modellingRisk-neutral probabilities and the Esscher transformThe Esscher transform for some specific modelsCurrency conversion for forward and swap pricesPricing of forwardsThe geometric caseThe arithmetic casePricing of swapsThe geometric caseThe arithmetic case

Keywords: Electricity Market; Gas Market; Weather Derivatives; Temperature; Energy Market; Mean Reversion; Ornstein–Uhlenbeck Processes; Jump Processes; Levy Processes; Futures Contracts; Forward Contracts; Options (search for similar items in EconPapers)
Date: 2008
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