Calibration of the multifactor HJM model for energy market
Year of publication: |
2005
|
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Authors: | Broszkiewicz-Suwaj, Ewa ; Weron, Aleksander |
Institutions: | Hugo Steinhaus Center for Stochastic Methods, Politechnika Wrocławska |
Subject: | Electricity market | HJM model | calibration | option pricing |
Extent: | application/pdf |
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Series: | |
Type of publication: | Book / Working Paper |
Notes: | Published in Acta Physica Polonica B Vol. 37, No 5 (2006) 1455-1466. Number HSC/05/03 14 pages |
Classification: | G13 - Contingent Pricing; Futures Pricing ; Q40 - Energy. General |
Source: |
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