PRICING OPTIONS ON FORWARDS IN ENERGY MARKETS: THE ROLE OF MEAN REVERSION'S SPEED (Q2953312)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | PRICING OPTIONS ON FORWARDS IN ENERGY MARKETS: THE ROLE OF MEAN REVERSION'S SPEED |
scientific article |
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PRICING OPTIONS ON FORWARDS IN ENERGY MARKETS: THE ROLE OF MEAN REVERSION'S SPEED (English)
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4 January 2017
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electricity spot prices
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multi-scale mean reversion
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jumps
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stochastic volatility
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delivery period
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options on forwards
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hedging
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pricing error
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upper and lower bounds
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