A jump diffusion model for spot electricity prices and market price of risk
type: Item
instance of: scholarly article
title: A jump diffusion model for spot electricity prices and market price of risk
zbMATH Open document ID: 1402.91936
author: Ramaprasad Bhar
author: David B. Colwell
author: Yuewen Xiao
published in: Physica A
publication date: 2018-09-11T00:00:00Z
Mathematics Subject Classification ID: 91G80
Mathematics Subject Classification ID: 91B24
Mathematics Subject Classification ID: 93E11
zbMATH DE Number: 6935094
zbMATH Keywords: jump diffusion
zbMATH Keywords: electricity price modeling
zbMATH Keywords: market price of risk
zbMATH Keywords: Kalman filter
MaRDI profile type: Publication
full work available at URL: j.physa.2013.03.026
OpenAlex ID: W2075066899
cites work: Transform Analysis and Asset Pricing for Affine Jump-diffusions
cites work: Electricity prices and power derivatives: evidence from the Nordic Power Exchange
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cites work: Bond Market Structure in the Presence of Marked Point Processes
cites work: Q4840212
cites work: Q3002198
DOI: 10.1016/J.PHYSA.2013.03.026
description: scientific article; zbMATH DE number 6935094