Pricing electricity forwards under future information on the stochastic mean-reversion level
type: Item
instance of: scholarly article
title: Pricing electricity forwards under future information on the stochastic mean-reversion level
zbMATH Open document ID: 1465.91115
author: Yanyan Li
published in: Decisions in Economics and Finance
publication date: 2021-05-19T00:00:00Z
Mathematics Subject Classification ID: 91G20
Mathematics Subject Classification ID: 60G51
zbMATH DE Number: 7349865
zbMATH Keywords: electricity spot/forward/futures price
zbMATH Keywords: arithmetic multi-factor model
zbMATH Keywords: pure-jump Ornstein-Uhlenbeck process
zbMATH Keywords: Lévy-type process
zbMATH Keywords: Poisson random measure
zbMATH Keywords: stochastic differential equation
zbMATH Keywords: initially enlarged filtration
zbMATH Keywords: information premium
MaRDI profile type: Publication
full work available at URL: s10203-020-00307-6
OpenAlex ID: W3092578654
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DOI: 10.1007/S10203-020-00307-6
description: scientific article; zbMATH DE number 7349865