Using Affine Jump Diffusion Models for Modelling and Pricing Electricity Derivatives
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Publication:3502202
DOI10.1080/13504860701427362zbMath1134.91529OpenAlexW2039364161MaRDI QIDQ3502202
Publication date: 22 May 2008
Published in: Applied Mathematical Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/13504860701427362
electricity derivativesaffine jump diffusion modelsregime-switching spike modelseasonal risk premium
Microeconomic theory (price theory and economic markets) (91B24) Economic models of real-world systems (e.g., electricity markets, etc.) (91B74)
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