Forward price and fitting of electricity Nord Pool market under regime-switching two-factor model
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Publication:2037761
DOI10.1007/s11579-020-00287-6zbMath1467.91101OpenAlexW3120322093MaRDI QIDQ2037761
Idin Noorani, Farshid Mehrdoust
Publication date: 8 July 2021
Published in: Mathematics and Financial Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s11579-020-00287-6
Microeconomic theory (price theory and economic markets) (91B24) Economic models of real-world systems (e.g., electricity markets, etc.) (91B74)
Related Items (3)
Valuation of option price in commodity markets described by a Markov-switching model: a case study of WTI crude oil market ⋮ An efficient algorithm for pricing reinsurance contract under the regime-switching model ⋮ Electricity spot price modeling by multi-factor uncertain process: a case study from the Nordic region
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