A primer on the pricing of electric energy options in Brazil via mean-reverting stochastic processes
Year of publication: |
2019
|
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Authors: | Oliveira, Abdinardo Moreira Barreto de ; Mandal, Anandadeep ; Power, Gabriel J. |
Published in: |
Energy reports. - Amsterdam [u.a.] : Elsevier, ISSN 2352-4847, ZDB-ID 2814795-9. - Vol. 5.2019, p. 594-601
|
Subject: | Energy options | Monte Carlo simulation | Stochastic processes | YUIMA | Stochastischer Prozess | Stochastic process | Optionspreistheorie | Option pricing theory | Monte-Carlo-Simulation | Volatilität | Volatility |
Type of publication: | Article |
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Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
Language: | English |
Other identifiers: | 10.1016/j.egyr.2019.03.010 [DOI] hdl:10419/243614 [Handle] |
Source: | ECONIS - Online Catalogue of the ZBW |
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