Modelling jumps in electricity prices: theory and empirical evidence
type: Item
instance of: scholarly article
title: Modelling jumps in electricity prices: theory and empirical evidence
zbMATH Open document ID: 1151.91680
author: Jan Seifert
author: Marliese Uhrig-Homburg
published in: Review of Derivatives Research
publication date: 2008-09-02T00:00:00Z
Mathematics Subject Classification ID: 91B74
Mathematics Subject Classification ID: 91B70
Mathematics Subject Classification ID: 91B30
zbMATH DE Number: 5319236
zbMATH Keywords: Electricity prices
zbMATH Keywords: Jump diffusion
zbMATH Keywords: Derivatives pricing
zbMATH Keywords: Model risk
MaRDI profile type: Publication
full work available at URL: s11147-007-9011-9
OpenAlex ID: W3124605301
cites work: Pricing in Electricity Markets: A Mean Reverting Jump Diffusion Model with Seasonality
cites work: Electricity prices and power derivatives: evidence from the Nordic Power Exchange
DOI: 10.1007/S11147-007-9011-9
description: scientific article; zbMATH DE number 5319236