Valuation and hedging of European contingent claims on power with spikes: a non-Markovian approach
type: Item
instance of: scholarly article
title: Valuation and hedging of European contingent claims on power with spikes: a non-Markovian approach
zbMATH Open document ID: 1080.91037
author: Valery A. Kholodnyi
published in: Journal of Engineering Mathematics
publication date: 2005-01-14T00:00:00Z
Mathematics Subject Classification ID: 91B28
Mathematics Subject Classification ID: 91B24
Mathematics Subject Classification ID: 60G35
zbMATH DE Number: 2127516
zbMATH Keywords: Contingent claims on power
zbMATH Keywords: non-Markovian price processes
zbMATH Keywords: power prices with spikes
MaRDI profile type: Publication
full work available at URL: b:engi.0000031203.43548.b6
OpenAlex ID: W1998267828
DOI: 10.1023/B:ENGI.0000031203.43548.B6
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description: scientific article; zbMATH DE number 2127516