Pricing in Electricity Markets: a Mean Reverting Jump Diffusion Model with Seasonality
Year of publication: |
2005-01-21
|
---|---|
Authors: | Cartea, Alvaro ; Figueroa, Marcelo_Gustavo |
Institutions: | EconWPA |
Subject: | Energy derivatives | mean reversion | jump diffusion | electricity spot and forward |
-
Multiperiod Hedging using Futures: Mean Reversion and the Optimal Hedging Path
Rao, Vadhindran K., (2011)
-
Variance swap with mean reversion, multifactor stochastic volatility and jumps
Pun, Chi Seng, (2015)
-
Analytical pricing of discrete arithmetic Asian options with mean reversion and jumps
Chung, Shing Fung, (2014)
- More ...
-
Volatility and covariation of financial assets: a high-frequency analysis
Cartea, Alvaro, (2009)
-
Modelling Electricity Prices with Forward Looking Capacity Constraints
Cartea, Alvaro, (2009)
-
Option pricing with Levy-Stable processes generated by Levy-Stable integrated variance
Cartea, Alvaro, (2009)
- More ...