Modelling electricity prices: a time change approach
From MaRDI portal
Publication:5001192
DOI10.1080/14697688.2015.1125521zbMath1468.91170OpenAlexW2216825853MaRDI QIDQ5001192
Daniel Jon Mitchell, Lingfei Li, Zhiyu Mo, Rafael Mendoza-Arriaga
Publication date: 16 July 2021
Published in: Quantitative Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/14697688.2015.1125521
spikesLaplace transformseasonalitymean-reversionstochastic time changeelectricity spot priceselectricity futures and futures options
Derivative securities (option pricing, hedging, etc.) (91G20) Laplace transform (44A10) Jump processes on discrete state spaces (60J74)
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