{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2026,3,16]],"date-time":"2026-03-16T15:59:40Z","timestamp":1773676780350,"version":"3.50.1"},"reference-count":32,"publisher":"Springer Science and Business Media LLC","issue":"4","license":[{"start":{"date-parts":[[2015,8,18]],"date-time":"2015-08-18T00:00:00Z","timestamp":1439856000000},"content-version":"tdm","delay-in-days":0,"URL":"http:\/\/www.springer.com\/tdm"}],"content-domain":{"domain":["link.springer.com"],"crossmark-restriction":false},"short-container-title":["Finance Stoch"],"published-print":{"date-parts":[[2015,10]]},"DOI":"10.1007\/s00780-015-0270-2","type":"journal-article","created":{"date-parts":[[2015,8,17]],"date-time":"2015-08-17T08:41:58Z","timestamp":1439800918000},"page":"849-889","update-policy":"https:\/\/doi.org\/10.1007\/springer_crossmark_policy","source":"Crossref","is-referenced-by-count":11,"title":["Pricing and hedging Asian-style options on energy"],"prefix":"10.1007","volume":"19","author":[{"given":"Fred Espen","family":"Benth","sequence":"first","affiliation":[]},{"given":"Nils","family":"Detering","sequence":"additional","affiliation":[]}],"member":"297","published-online":{"date-parts":[[2015,8,18]]},"reference":[{"key":"270_CR1","doi-asserted-by":"crossref","first-page":"41","DOI":"10.1007\/s007800050032","volume":"2","author":"O.E. Barndorff-Nielsen","year":"1998","unstructured":"Barndorff-Nielsen, O.E.: Processes of normal inverse Gaussian type. Finance Stoch. 2, 41\u201368 (1998)","journal-title":"Finance Stoch."},{"key":"270_CR2","doi-asserted-by":"crossref","first-page":"167","DOI":"10.1111\/1467-9868.00282","volume":"63","author":"O.E. Barndorff-Nielsen","year":"2001","unstructured":"Barndorff-Nielsen, O.E., Shephard, N.: Non-Gaussian Ornstein\u2013Uhlenbeck-based models and some of their uses in financial econometrics. J.\u00a0R. Stat. Soc., Ser. B, Stat. Methodol. 63, 167\u2013241 (2001)","journal-title":"J.\u00a0R. Stat. Soc., Ser. B, Stat. Methodol."},{"key":"270_CR3","doi-asserted-by":"crossref","first-page":"93","DOI":"10.1142\/9789814280112_0005","volume-title":"Alternative Investments and Strategies","author":"F.E. Benth","year":"2010","unstructured":"Benth, F.E.: On forward price modelling in power markets. In: Kiesel, R., Scherer, M., Zagst, R. (eds.) Alternative Investments and Strategies, pp.\u00a093\u2013122. World Scientific, Singapore (2010)"},{"key":"270_CR4","first-page":"595","volume":"21","author":"F.E. Benth","year":"2011","unstructured":"Benth, F.E.: The stochastic volatility model of Barndorff\u2013Nielsen and Shephard in commodity markets. Math. Finance 21, 595\u2013625 (2011)","journal-title":"Math. Finance"},{"key":"270_CR5","series-title":"Lecture Notes in Energy","doi-asserted-by":"crossref","first-page":"233","DOI":"10.1007\/978-3-642-55382-0_10","volume-title":"The Interrelationships Between Financial and Energy Markets","author":"F.E. Benth","year":"2014","unstructured":"Benth, F.E., Schmeck, M.: Pricing futures and options in electricity markets. In: Ramos, S., Veiga, H. (eds.) The Interrelationships Between Financial and Energy Markets. Lecture Notes in Energy, vol.\u00a054, pp.\u00a0233\u2013260. Springer, Berlin (2014)"},{"key":"270_CR6","doi-asserted-by":"crossref","DOI":"10.1142\/6811","volume-title":"Stochastic Modeling of Electricity and Related Markets","author":"F.E. Benth","year":"2008","unstructured":"Benth, F.E., Benth, J., Koekebakker, S.: Stochastic Modeling of Electricity and Related Markets. World Scientific, Singapore (2008)"},{"key":"270_CR7","doi-asserted-by":"crossref","first-page":"392","DOI":"10.1016\/j.eneco.2014.03.020","volume":"44","author":"F.E. Benth","year":"2014","unstructured":"Benth, F.E., Kl\u00fcppelberg, C., M\u00fcller, G., Vos, L.: Futures pricing in electricity markets based on stable CARMA spot models. Energy Econ. 44, 392\u2013406 (2014)","journal-title":"Energy Econ."},{"key":"270_CR8","doi-asserted-by":"crossref","first-page":"1","DOI":"10.21314\/JEM.2015.130","volume":"8","author":"F.E. Benth","year":"2015","unstructured":"Benth, F.E., Lange, N., Myklebust, T.A.: Pricing and hedging quanto options in energy markets. J.\u00a0Energy Mark. 8, 1\u201335 (2015)","journal-title":"J.\u00a0Energy Mark."},{"key":"270_CR9","volume-title":"Financial Modelling with Jump Processes","author":"R. Cont","year":"2004","unstructured":"Cont, R., Tankov, P.: Financial Modelling with Jump Processes. Chapman & Hall\/CRC Press, London\/Boca Raton (2004)"},{"key":"270_CR10","doi-asserted-by":"crossref","first-page":"31","DOI":"10.1111\/1467-9965.00062","volume":"9","author":"E. Eberlein","year":"1999","unstructured":"Eberlein, E., Raible, S.: Term structure models driven by general L\u00e9vy processes. Math. Finance 9, 31\u201353 (1999)","journal-title":"Math. Finance"},{"key":"270_CR11","first-page":"389","volume-title":"Applied Stochastic Analysis, Stochastics Monographs","author":"H. F\u00f6llmer","year":"1991","unstructured":"F\u00f6llmer, H., Schweizer, M.: Hedging of contingent claims under incomplete information. In: Davis, M.H.A., Elliott, R.J. (eds.) Applied Stochastic Analysis, Stochastics Monographs, vol.\u00a05, pp.\u00a0389\u2013414. Gordon & Breach, New York (1991)"},{"key":"270_CR12","first-page":"205","volume-title":"Contributions to Mathematical Economics","author":"H. F\u00f6llmer","year":"1986","unstructured":"F\u00f6llmer, H., Sondermann, D.: Hedging of non-redundant contingent claims. In: Hildenbrand, W., Mas-Colell, A. (eds.) Contributions to Mathematical Economics, pp.\u00a0205\u2013223. North-Holland, Amsterdam (1986)"},{"key":"270_CR13","volume-title":"A Treatise on Advanced Calculus","author":"P. Franklin","year":"1968","unstructured":"Franklin, P.: A Treatise on Advanced Calculus. Dover, New York (1968)"},{"key":"270_CR14","doi-asserted-by":"crossref","first-page":"71","DOI":"10.21314\/JCF.2013.261","volume":"17","author":"S. Goutte","year":"2013","unstructured":"Goutte, S., Oudjane, N., Russo, F.: Variance optimal hedging for discrete time processes with independent increments. Application to electricity markets. J.\u00a0Comput. Finance 17, 71\u2013111 (2013)","journal-title":"J.\u00a0Comput. Finance"},{"key":"270_CR15","doi-asserted-by":"crossref","first-page":"147","DOI":"10.1080\/17442508.2013.774402","volume":"86","author":"S. Goutte","year":"2014","unstructured":"Goutte, S., Oudjane, N., Russo, F.: Variance optimal hedging for continuous time additive processes and applications. Stochastics 86, 147\u2013185 (2014)","journal-title":"Stochastics"},{"key":"270_CR16","doi-asserted-by":"crossref","first-page":"5","DOI":"10.1023\/A:1013846631785","volume":"5","author":"J. Lucia","year":"2002","unstructured":"Lucia, J., Schwartz, E.: Electricity prices and power derivatives: evidence from the Nordic power exchange. Rev. Deriv. Res. 5, 5\u201350 (2002)","journal-title":"Rev. Deriv. Res."},{"key":"270_CR17","series-title":"Lecture Notes in Mathematics","doi-asserted-by":"crossref","first-page":"189","DOI":"10.1007\/BFb0073847","volume-title":"S\u00e9minaire de Probabilit\u00e9s XXVIII","author":"P. Monat","year":"1994","unstructured":"Monat, P., Stricker, C.: Fermeture de G T ( \u0398 ) $G_{T}(\\varTheta)$ et de L 2 ( F ) + G T ( \u0398 ) $L^{2}(\\mathcal {F})+G_{T}(\\varTheta)$ . In: Az\u00e9ma, J., Yor, M., Meyer, P.A. (eds.) S\u00e9minaire de Probabilit\u00e9s XXVIII. Lecture Notes in Mathematics, vol.\u00a01583, pp.\u00a0189\u2013194. Springer, Berlin (1994)"},{"key":"270_CR18","doi-asserted-by":"crossref","first-page":"445","DOI":"10.1111\/1467-9965.t01-1-00175","volume":"13","author":"E. Nicolato","year":"2003","unstructured":"Nicolato, E., Venardos, E.: Option pricing in stochastic volatility models of the Ornstein\u2013Uhlenbeck type. Math. Finance 13, 445\u2013466 (2003)","journal-title":"Math. Finance"},{"key":"270_CR19","doi-asserted-by":"crossref","DOI":"10.1007\/978-3-662-10061-5","volume-title":"Stochastic Integration and Differential Equations","author":"P. Protter","year":"2005","unstructured":"Protter, P.: Stochastic Integration and Differential Equations, 2nd edn. Springer, Berlin (2005)","edition":"2"},{"key":"270_CR20","volume-title":"Real and Complex Analysis","author":"W. Rudin","year":"1987","unstructured":"Rudin, W.: Real and Complex Analysis, 3rd edn. McGraw-Hill, San Francisco (1987)","edition":"3"},{"key":"270_CR21","volume-title":"L\u00e9vy Processes and Infinitely Divisible Distributions","author":"K. Sato","year":"1999","unstructured":"Sato, K.: L\u00e9vy Processes and Infinitely Divisible Distributions. Cambridge University Press, Cambridge (1999)"},{"key":"270_CR22","doi-asserted-by":"crossref","first-page":"121","DOI":"10.1287\/moor.19.1.121","volume":"19","author":"M. Sch\u00e4l","year":"1994","unstructured":"Sch\u00e4l, M.: On quadratic cost criteria for option hedging. Math. Oper. Res. 19, 121\u2013131 (1994)","journal-title":"Math. Oper. Res."},{"key":"270_CR23","doi-asserted-by":"crossref","first-page":"893","DOI":"10.1287\/mnsc.46.7.893.12034","volume":"46","author":"E.S. Schwartz","year":"2000","unstructured":"Schwartz, E.S., Smith, J.E.: Short-term variations and long-term dynamics in commodity prices. Manag. Sci. 46, 893\u2013911 (2000)","journal-title":"Manag. Sci."},{"key":"270_CR24","doi-asserted-by":"crossref","first-page":"363","DOI":"10.1016\/0304-4068(92)90014-X","volume":"21","author":"M. Schweizer","year":"1992","unstructured":"Schweizer, M.: Martingale densities for general asset prices. J.\u00a0Math. Econ. 21, 363\u2013378 (1992)","journal-title":"J.\u00a0Math. Econ."},{"key":"270_CR25","doi-asserted-by":"crossref","first-page":"1536","DOI":"10.1214\/aop\/1176988611","volume":"22","author":"M. Schweizer","year":"1994","unstructured":"Schweizer, M.: Approximating random variables by stochastic integrals. Ann. Probab. 22, 1536\u20131575 (1994)","journal-title":"Ann. Probab."},{"key":"270_CR26","doi-asserted-by":"crossref","first-page":"573","DOI":"10.1080\/07362999508809418","volume":"13","author":"M. Schweizer","year":"1995","unstructured":"Schweizer, M.: On the minimal martingale measure and the F\u00f6llmer\u2013Schweizer decomposition. Stoch. Anal. Appl. 13, 573\u2013599 (1995)","journal-title":"Stoch. Anal. Appl."},{"key":"270_CR27","doi-asserted-by":"crossref","first-page":"1","DOI":"10.1287\/moor.20.1.1","volume":"20","author":"M. Schweizer","year":"1995","unstructured":"Schweizer, M.: Variance-optimal hedging in discrete time. Math. Oper. Res. 20, 1\u201332 (1995)","journal-title":"Math. Oper. Res."},{"key":"270_CR28","doi-asserted-by":"crossref","first-page":"538","DOI":"10.1017\/CBO9780511569708.016","volume-title":"Option Pricing, Interest Rates and Risk Management","author":"M. Schweizer","year":"2001","unstructured":"Schweizer, M.: A guided tour through quadratic hedging approaches. In: Option Pricing, Interest Rates and Risk Management, pp.\u00a0538\u2013574. Cambridge University Press, Cambridge (2001)"},{"key":"270_CR29","doi-asserted-by":"crossref","first-page":"105","DOI":"10.21314\/JCF.2001.064","volume":"4","author":"J. Ve\u010de\u0159","year":"2001","unstructured":"Ve\u010de\u0159, J.: A new PDE approach for pricing arithmetic average Asian options. J.\u00a0Comput. Finance 4, 105\u2013113 (2001)","journal-title":"J.\u00a0Comput. Finance"},{"key":"270_CR30","doi-asserted-by":"crossref","first-page":"170","DOI":"10.1080\/14697680400000021","volume":"4","author":"J. Ve\u010de\u0159","year":"2004","unstructured":"Ve\u010de\u0159, J., Xu, M.: Pricing Asian options in a semimartingale model. Quant. Finance 4, 170\u2013175 (2004)","journal-title":"Quant. Finance"},{"key":"270_CR31","doi-asserted-by":"crossref","first-page":"1098","DOI":"10.1016\/j.eneco.2007.05.004","volume":"30","author":"R. Weron","year":"2008","unstructured":"Weron, R.: Market price of risk implied by Asian-style electricity options and futures. Energy Econ. 30, 1098\u20131115 (2008)","journal-title":"Energy Econ."},{"key":"270_CR32","volume-title":"The Laplace Transform","author":"D.V. Widder","year":"1946","unstructured":"Widder, D.V.: The Laplace Transform. Princeton University Press, Princeton (1946)"}],"container-title":["Finance and Stochastics"],"original-title":[],"language":"en","link":[{"URL":"http:\/\/link.springer.com\/content\/pdf\/10.1007\/s00780-015-0270-2.pdf","content-type":"application\/pdf","content-version":"vor","intended-application":"text-mining"},{"URL":"http:\/\/link.springer.com\/article\/10.1007\/s00780-015-0270-2\/fulltext.html","content-type":"text\/html","content-version":"vor","intended-application":"text-mining"},{"URL":"http:\/\/link.springer.com\/content\/pdf\/10.1007\/s00780-015-0270-2","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2019,8,29]],"date-time":"2019-08-29T08:43:07Z","timestamp":1567068187000},"score":1,"resource":{"primary":{"URL":"http:\/\/link.springer.com\/10.1007\/s00780-015-0270-2"}},"subtitle":[],"short-title":[],"issued":{"date-parts":[[2015,8,18]]},"references-count":32,"journal-issue":{"issue":"4","published-print":{"date-parts":[[2015,10]]}},"alternative-id":["270"],"URL":"https:\/\/doi.org\/10.1007\/s00780-015-0270-2","relation":{},"ISSN":["0949-2984","1432-1122"],"issn-type":[{"value":"0949-2984","type":"print"},{"value":"1432-1122","type":"electronic"}],"subject":[],"published":{"date-parts":[[2015,8,18]]}}}