A non-Gaussian Ornstein-Uhlenbeck model for pricing wind power futures
Year of publication: |
March-April 2018
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Authors: | Benth, Fred Espen ; Pircalabu, Anca |
Published in: |
Applied mathematical finance. - Abingdon : Routledge, Taylor & Francis Group, ISSN 1350-486X, ZDB-ID 1282409-4. - Vol. 25.2018, 1/2, p. 36-65
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Subject: | Wind power futures | weather derivatives | Ornstein-Uhlenbeck process | market price of risk | Windenergie | Wind energy | Derivat | Derivative | Optionspreistheorie | Option pricing theory | Risikoprämie | Risk premium | Wetter | Weather | Windenergieanlage | Wind turbine | Rohstoffderivat | Commodity derivative |
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