Modelling the joint behaviour of electricity prices in interconnected markets

DOI10.1080/14697688.2020.1733059zbMath1454.91283OpenAlexW3017839540MaRDI QIDQ5139244

Troels Sønderby Christensen, Fred Espen Benth

Publication date: 7 December 2020

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: http://urn.nb.no/URN:NBN:no-82593

zbMATH Keywords

derivative pricingstochastic modellingday-ahead electricity pricesinterconnected markets

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70)

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