Equilibrium price in intraday electricity markets
Year of publication: |
2022
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Authors: | Aïd, René ; Cosso, Andrea ; Pham, Huyên |
Published in: |
Mathematical finance : an international journal of mathematics, statistics and financial economics. - Oxford [u.a.] : Wiley-Blackwell, ISSN 1467-9965, ZDB-ID 1481288-5. - Vol. 32.2022, 2, p. 517-554
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Subject: | coupled forward-backward SDE with jumps | equilibrium model | intraday electricity markets | martingale optimality principle | Samuelson's effect | Theorie | Theory | Elektrizitätswirtschaft | Electric power industry | Energiemarkt | Energy market | Martingal | Martingale | Volatilität | Volatility |
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