The non-Markovian approach to the valuation and hedging of European contingent claims on power with scaling spikes
type: Item
instance of: scholarly article
title: The non-Markovian approach to the valuation and hedging of European contingent claims on power with scaling spikes
zbMATH Open document ID: 1155.93419
author: Valery A. Kholodnyi
published in: Nonlinear Analysis. Hybrid Systems
publication date: 2009-03-04T00:00:00Z
Mathematics Subject Classification ID: 93E03
Mathematics Subject Classification ID: 93A30
Mathematics Subject Classification ID: 91B06
Mathematics Subject Classification ID: 91B24
zbMATH DE Number: 5523003
zbMATH Keywords: non-Markovian stochastic process for power prices with spikes
zbMATH Keywords: contingent claims on power with spikes
zbMATH Keywords: power forward prices for power with spikes
zbMATH Keywords: scaling probability distribution for the magnitude of spikes
MaRDI profile type: Publication
full work available at URL: j.nahs.2006.05.002
OpenAlex ID: W2073132274
cites work: Q3518606
cites work: Product integration of measures and applications
cites work: Modeling power forward prices for power with spikes: a non-Markovian approach
cites work: Valuation and hedging of European contingent claims on power with spikes: a non-Markovian approach
DOI: 10.1016/J.NAHS.2006.05.002
description: scientific article; zbMATH DE number 5523003