Pricing electricity forwards under future information on the stochastic mean-reversion level

DOI10.1007/S10203-020-00307-6zbMath1465.91115OpenAlexW3092578654MaRDI QIDQ2026537

Yanyan Li

Publication date: 19 May 2021

Published in: Decisions in Economics and Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10203-020-00307-6

zbMATH Keywords

stochastic differential equationLévy-type processPoisson random measureinitially enlarged filtrationarithmetic multi-factor modelelectricity spot/forward/futures priceinformation premiumpure-jump Ornstein-Uhlenbeck process

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Derivative securities (option pricing, hedging, etc.) (91G20)

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