The effect of mean-reverting processes in the pricing of options in the energy market : an arithmetic approach
Year of publication: |
2021
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Authors: | Schmeck, Maren Diane ; Schwerin, Stefan |
Published in: |
Risks : open access journal. - Basel : MDPI, ISSN 2227-9091, ZDB-ID 2704357-5. - Vol. 9.2021, 5, Art.-No. 100, p. 1-19
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Subject: | electricity spot prices | multi-scale mean reversion | pricing error | jumps | delivery period | swaps | Energiemarkt | Energy market | Strompreis | Electricity price | Optionspreistheorie | Option pricing theory | Spotmarkt | Spot market | Mean Reversion | Mean reversion | Volatilität | Volatility | Swap | Derivat | Derivative | Elektrizitätswirtschaft | Electric power industry |
Type of publication: | Article |
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Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
Language: | English |
Other identifiers: | 10.3390/risks9050100 [DOI] hdl:10419/258188 [Handle] |
Source: | ECONIS - Online Catalogue of the ZBW |
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