A Lattice-Based Method for Pricing Electricity Derivatives Under the Threshold Model
Year of publication: |
2008
|
---|---|
Authors: | Geman, Helyette ; Kourouvakalis, Stelios |
Published in: |
Applied Mathematical Finance. - Taylor & Francis Journals, ISSN 1350-486X. - Vol. 15.2008, 5-6, p. 531-567
|
Publisher: |
Taylor & Francis Journals |
Subject: | Electricity spot prices | threshold model | lattice-based jump representation |
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