Benth, Fred Espen; Ekeland, Lars; Hauge, Ragnar; Nielsen, Bjørn Fredrik A note on arbitrage-free pricing of forward contracts in energy markets. (English) Zbl 1101.91323 Appl. Math. Finance 10, No. 4, 325-336 (2003). Summary: Arbitrage theory is used to price forward (futures) contracts in energy markets, where the underlying assets are non-tradeable. The method is based on the so-called ’fitting of the yield curve’ technique from interest rate theory. The spot price dynamics of Schwartz is generalized to multidimensional correlated stochastic processes with Wiener and Lévy noise. Findings are illustrated with examples from oil and electricity markets. Cited in 10 Documents MSC: 91B26 Auctions, bargaining, bidding and selling, and other market models 91B40 Labor market, contracts (MSC2010) 91B24 Microeconomic theory (price theory and economic markets) Keywords:incomplete markets; forward pricing; energy markets; no-arbitrage pricing; Lévy processes PDFBibTeX XMLCite \textit{F. E. Benth} et al., Appl. Math. Finance 10, No. 4, 325--336 (2003; Zbl 1101.91323) Full Text: DOI