A nonlinear diffusion model for electricity prices and derivatives
Zhigang Tong, Allen Liu
| Year of publication: |
2017
|
|---|---|
| Authors: | Tong, Zhigang ; Liu, Allen |
| Published in: |
International journal of bonds and derivatives. - Olney : Inderscience, ISSN 2050-2281, ZDB-ID 2765392-4. - Vol. 3.2017, 4, p. 290-319
|
| Subject: | electricity prices | CIR | OU | constant-elasticity-of-variance | CEV | time change | Lévy subordinators | eigenfunction expansion | derivatives pricing | nonlinear model | Strompreis | Electricity price | Derivat | Derivative | Optionspreistheorie | Option pricing theory | Nichtlineare Regression | Nonlinear regression | Stochastischer Prozess | Stochastic process | Volatilität | Volatility |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011877179