A non-Gaussian Ornstein–Uhlenbeck model for pricing wind power futures
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Publication:4559324
DOI10.1080/1350486X.2018.1438904zbMath1418.91503MaRDI QIDQ4559324
Anca Pircalabu, Fred Espen Benth
Publication date: 3 December 2018
Published in: Applied Mathematical Finance (Search for Journal in Brave)
Related Items (9)
Extremes of subexponential Lévy-driven random fields in the Gumbel domain of attraction ⋮ On non-negative modeling with CARMA processes ⋮ Extremes of Lévy-driven spatial random fields with regularly varying Lévy measure ⋮ Gamma-related Ornstein–Uhlenbeck processes and their simulation* ⋮ Exact Simulation of Variance Gamma-Related OU Processes: Application to the Pricing of Energy Derivatives ⋮ Fast Pricing of Energy Derivatives with Mean-Reverting Jump-diffusion Processes ⋮ A new approach to wind power futures pricing ⋮ Fast simulation of tempered stable Ornstein-Uhlenbeck processes ⋮ Multivariate continuous-time modeling of wind indexes and hedging of wind risk
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