Stochastic spot price multi-period model and option valuation for electrical markets

DOI10.1080/14697688.2013.772652zbMath1281.91079OpenAlexW2115975626MaRDI QIDQ5397401

Eric Winnington, Eivind Helland, Timur Aka

Publication date: 20 February 2014

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

Full work available at URL: https://doi.org/10.1080/14697688.2013.772652

Mathematics Subject Classification ID

Microeconomic theory (price theory and economic markets) (91B24) Derivative securities (option pricing, hedging, etc.) (91G20)

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