Joint econometric modeling of spot electricity prices, forwards and options
Year of publication: |
2012
|
---|---|
Authors: | Monfort, Alain ; Féron, Olivier |
Published in: |
Review of Derivatives Research. - Springer. - Vol. 15.2012, 3, p. 217-256
|
Publisher: |
Springer |
Subject: | Electricity derivative pricing | Spikes | Car processes | Stochastic discount factor | Kitagawa–Hamilton filter |
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