A jump diffusion model for spot electricity prices and market price of risk

DOI10.1016/j.physa.2013.03.026zbMath1402.91936OpenAlexW2075066899MaRDI QIDQ1673029

Yuewen Xiao, Ramaprasad Bhar, David B. Colwell

Publication date: 11 September 2018

Published in: Physica A (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.physa.2013.03.026

zbMATH Keywords

Kalman filterjump diffusionmarket price of riskelectricity price modeling

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) Microeconomic theory (price theory and economic markets) (91B24) Financial applications of other theories (91G80)

Related Items (1)

Pricing equity warrants with a promised lowest price in Merton's jump-diffusion model

Cites Work

• Electricity prices and power derivatives: evidence from the Nordic Power Exchange
• On Transforming a Certain Class of Stochastic Processes by Absolutely Continuous Substitution of Measures
• Bond Market Structure in the Presence of Marked Point Processes
• Transform Analysis and Asset Pricing for Affine Jump-diffusions
• On an Identity for Stochastic Integrals
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