Pricing electricity forwards under future information on the stochastic mean-reversion level
Year of publication: |
2020
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Authors: | Hess, Markus |
Published in: |
Decisions in economics and finance : a journal of applied mathematics. - Milano : Springer Italia, ISSN 1129-6569, ZDB-ID 2023516-1. - Vol. 43.2020, 2, p. 751-767
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Subject: | Electricity spot/forward/futures price | Arithmetic multi-factor model | Pure-jump Ornstein-Uhlenbeck process | Lévy-type process | Poisson random measure | Stochastic differential equation | Initially enlarged filtration | Information premium | Stochastischer Prozess | Stochastic process | Optionspreistheorie | Option pricing theory | Volatilität | Volatility | Strompreis | Electricity price | Analysis | Mathematical analysis | Elektrizität | Electricity | Rohstoffderivat | Commodity derivative | Elektrizitätswirtschaft | Electric power industry |
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