Modeling positive electricity prices with arithmetic jump-diffusions
Markus Hess
| Year of publication: |
September 2017
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|---|---|
| Authors: | Hess, Markus |
| Published in: |
Energy economics. - Amsterdam : Elsevier, ISSN 0140-9883, ZDB-ID 795279-X. - Vol. 67.2017, p. 496-507
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| Subject: | Stochastic calculus | Positivity of solution to stochastic differential equation | Ornstein-Uhlenbeck process | Enlargement of filtration | Future information | Insider trading | Arithmetic jump-diffusion model | Long-term behavior | Electricity spot/forward/futures price | Option pricing | Stochastischer Prozess | Stochastic process | Optionspreistheorie | Option pricing theory | Strompreis | Electricity price | Analysis | Mathematical analysis | Insiderhandel |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.eneco.2017.08.016 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011898003