Pricing electricity day-ahead cap futures with multifactor skew-t densities
Year of publication: |
2022
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Authors: | Matsumoto, Takuji ; Bunn, Derek W. ; Yamada, Yuji |
Published in: |
Quantitative finance. - London : Taylor & Francis, ISSN 1469-7696, ZDB-ID 2027557-2. - Vol. 22.2022, 5, p. 835-860
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Subject: | Cap futures | Electricity prices | GAMLSS | Hedging | Skew-t density | Strompreis | Electricity price | Derivat | Derivative | Elektrizitätswirtschaft | Electric power industry | EU-Staaten | EU countries | Rohstoffderivat | Commodity derivative | Volatilität | Volatility | Optionspreistheorie | Option pricing theory |
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