Bayesian Calibration and Number of Jump Components in Electricity Spot Price Models
Year of publication: |
2017
|
---|---|
Authors: | Gonzalez, Jhonny |
Other Persons: | Moriarty, John (contributor) ; Palczewski, Jan (contributor) |
Publisher: |
[2017]: [S.l.] : SSRN |
Subject: | Strompreis | Electricity price | Spotmarkt | Spot market | Bayes-Statistik | Bayesian inference | Volatilität | Volatility | Optionspreistheorie | Option pricing theory | Modellierung | Scientific modelling | Elektrizitätswirtschaft | Electric power industry |
Extent: | 1 Online-Ressource (43 p) |
---|---|
Type of publication: | Book / Working Paper |
Language: | English |
Notes: | Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments January 12, 2016 erstellt |
Other identifiers: | 10.2139/ssrn.2714382 [DOI] |
Classification: | C15 - Statistical Simulation Methods; Monte Carlo Methods ; C11 - Bayesian Analysis ; Q40 - Energy. General |
Source: | ECONIS - Online Catalogue of the ZBW |
-
Bayesian calibration and number of jump components in electricity spot price models
Gonzalez, Jhonny, (2017)
-
The market price of risk for delivery periods : pricing swaps and options in electricity markets
Kemper, Annika, (2020)
-
Pricing of electricity swaps with geometric averaging
Kemper, Annika, (2023)
- More ...
-
Bayesian calibration and number of jump components in electricity spot price models
Gonzalez, Jhonny, (2017)
-
Imbalance market real options and the valuation of storage in future energy systems
Moriarty, John, (2019)
-
Real Option Valuation for Reserve Capacity
Moriarty, John, (2016)
- More ...