Application of the Esscher Transform to Pricing Forward Contracts on Energy Markets in a Fuzzy Environment
Abstract
:1. Introduction
2. Overview of Valuation Methods
2.1. Electricity Crisp Prices Models
2.1.1. Jump-Diffusion Models
2.1.2. Regime Switching Models
2.1.3. ARMA Models
2.1.4. Other Approaches
2.2. Fuzzy Approaches to Pricing Derivatives
3. The Proposed Model Underlying Dynamics of Electricity Spot Prices
4. Pricing Forward Contracts with Crisp Parameters
5. The Adjusted Fuzzy Decision-Making Method
6. Modified Method of Decision Making in a Fuzzy Environment
7. Numerical Examples
7.1. Automatized Investment Decision-Making
7.2. Price’s -Level Sets, Membership Function, Sensitivity Analysis
8. Conclusions
Author Contributions
Funding
Institutional Review Board Statement
Informed Consent Statement
Data Availability Statement
Conflicts of Interest
References
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Nowak, P.; Pawłowski, M. Application of the Esscher Transform to Pricing Forward Contracts on Energy Markets in a Fuzzy Environment. Entropy 2023, 25, 527. https://doi.org/10.3390/e25030527
Nowak P, Pawłowski M. Application of the Esscher Transform to Pricing Forward Contracts on Energy Markets in a Fuzzy Environment. Entropy. 2023; 25(3):527. https://doi.org/10.3390/e25030527
Chicago/Turabian StyleNowak, Piotr, and Michał Pawłowski. 2023. "Application of the Esscher Transform to Pricing Forward Contracts on Energy Markets in a Fuzzy Environment" Entropy 25, no. 3: 527. https://doi.org/10.3390/e25030527