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  • Neuchâtel & Jura désactiver le filtre

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    Università della Svizzera italiana

    Electricity derivatives

    Barone-Adesi, Giovanni ; Gigli, Andrea

    In this paper we propose an algorithm for pricing derivatives written on electricity in an incomplete market setting. A discrete time model for price dynamics which embodies the main features of electricity price revealed by simple time series analysis is considered. We use jointly Binomial and Monte Carlo methods for pricing under a risk-neutral measure of which we prove the existence.