Modeling energy spreads with a generalized novel mean-reverting stochastic process
Year of publication: |
2017
|
---|---|
Authors: | Moosavi Avonleghi, Mir Hashem ; Davison, Matt |
Published in: |
The journal of energy markets. - London : Infopro Digital, ISSN 1756-3607, ZDB-ID 2428804-4. - Vol. 10.2017, 1, p. 27-47
|
Subject: | energy markets | Ornsteinö-Uhlenbeck process | commodity spread process | mean-reverting stochastic process | West Texas Intermediate-West Texas Sour (WTI-WTS) spead | Stochastischer Prozess | Stochastic process | Modellierung | Scientific modelling | Energiemarkt | Energy market | Theorie | Theory |
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