Modeling positive electricity prices with arithmetic jump-diffusions
Markus Hess
| Year of publication: |
September 2017
|
|---|---|
| Authors: | Hess, Markus |
| Published in: |
Energy economics. - Amsterdam : Elsevier, ISSN 0140-9883, ZDB-ID 795279-X. - Vol. 67.2017, p. 496-507
|
| 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 | Insiderhandel | Volatilität | Volatility | Analysis | Mathematical analysis | Elektrizitätswirtschaft | Electric power industry |
| 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