Forward price and fitting of electricity Nord Pool market under regime-switching two-factor model
Farshid Mehrdoust, Idin Noorani
| Year of publication: |
2021
|
|---|---|
| Authors: | Mehrdoust, Farshid ; Noorani, Idin |
| Published in: |
Mathematics and financial economics. - Berlin : Springer, ISSN 1862-9660, ZDB-ID 2389109-9. - Vol. 15.2021, 3, p. 501-543
|
| Subject: | Electricity market | Regime-switching model | Calibration | EM algorithm | Forward contracts | Strompreis | Electricity price | Elektrizitätswirtschaft | Electric power industry | Derivat | Derivative | Spotmarkt | Spot market | Theorie | Theory | Markov-Kette | Markov chain | Elektrizität | Electricity | Volatilität | Volatility | Stochastischer Prozess | Stochastic process |
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1007/s11579-020-00287-6 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012586206