A non-Gaussian-Ornstein-Uhlenbeck process for electricity spot price modeling and derivatives pricing
Year of publication: |
2007
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Authors: | Benth, Fred Espen ; Kallsen, Jan ; Meyer-Brandis, Thilo |
Published in: |
Applied mathematical finance. - Abingdon : Routledge, Taylor & Francis Group, ISSN 1350-486X, ZDB-ID 1282409-4. - Vol. 14.2007, 2, p. 153-169
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Subject: | Optionspreistheorie | Option pricing theory | Spotmarkt | Spot market | Strompreis | Electricity price |
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