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A Multifactor Polynomial Framework for Long-Term Electricity Forwards with Delivery Period - MaRDI portal

A Multifactor Polynomial Framework for Long-Term Electricity Forwards with Delivery Period (Q5131416)

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scientific article; zbMATH DE number 7271098
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A Multifactor Polynomial Framework for Long-Term Electricity Forwards with Delivery Period
scientific article; zbMATH DE number 7271098

    Statements

    title
    A Multifactor Polynomial Framework for Long-Term Electricity Forwards with Delivery Period (English)
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    author
    Xi Kleisinger-Yu
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    Vlatka Komaric
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    Martin Larsson
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    Markus Regez
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    publication date
    7 November 2020
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    zbMATH Keywords
    polynomial diffusions
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    electricity forwards
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    forward risk premium
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    market price of risk
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    local risk-minimization
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    cites work
    Q3521355
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    Q3974816
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    Q3815091
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    Q2771114
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    Q2771115
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    Q4039796
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    Q4663402
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    Q2771116
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    Identifiers

    DOI
    10.1137/19M1283264
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    zbMATH DE Number
    7271098
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    arXiv ID
    1908.08954
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