Futures pricing in electricity markets based on stable CARMA spot models
Fred Espen Benth; Claudia Klüppelberg; Gernot Müller; Linda Vos
| Year of publication: |
2014
|
|---|---|
| Authors: | Benth, Fred Espen ; Klüppelberg, Claudia ; Müller, Gernot ; Vos, Linda |
| Published in: |
Energy economics. - Amsterdam : Elsevier, ISSN 0140-9883, ZDB-ID 795279-X. - Vol. 44.2014, p. 392-406
|
| Subject: | CARMA model | Electricity spot prices | Electricity futures prices | Continuous time linear model | Lévy process | Stable CARMA process | Risk premium | Robust filter | Strompreis | Electricity price | Spotmarkt | Spot market | Elektrizitätswirtschaft | Electric power industry | Risikoprämie | Stochastischer Prozess | Stochastic process | Derivat | Derivative | Rohstoffderivat | Commodity derivative | Optionspreistheorie | Option pricing theory | Zeitreihenanalyse | Time series analysis |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10010457150