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- W2034609427 abstract "We hedge options on electricity spot prices by cross hedging, i.e., by using another financial asset. We calculate hedging strategies by quadratic minimization and local risk minimization. In our model of energy markets, we have done a deep study of no arbitrage and of the existence of martingale measures with square integrable density. Then we have established tools for efficient hedges. Nevertheless, we have clearly proved possible limitations of the expiry of options with quadratic criteria." @default.
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- W2034609427 date "2007-08-01" @default.
- W2034609427 modified "2023-09-23" @default.
- W2034609427 title "CROSS HEDGING WITHIN A LOG MEAN REVERTING MODEL" @default.
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- W2034609427 doi "https://doi.org/10.1142/s0219024907004457" @default.
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