Electricity futures price modeling with Lévy term structure models
Francesca Biagini, Julia Bregman and Thilo Meyer-Brandis
| Year of publication: |
2015
|
|---|---|
| Authors: | Biagini, Francesca ; Bregman, Julia ; Meyer-Brandis, Thilo |
| Published in: |
International journal of theoretical and applied finance. - River Edge, NJ [u.a.] : World Scientific, ISSN 0219-0249, ZDB-ID 1428982-9. - Vol. 18.2015, 1, p. 1-21
|
| Subject: | Electricity futures market | interest rate term structure modeling | Lévy processes | Fourier transform techniques | electricity swing options | Zinsstruktur | Yield curve | Optionspreistheorie | Option pricing theory | Derivat | Derivative | Strompreis | Electricity price | Elektrizität | Electricity | Stochastischer Prozess | Stochastic process | Zinsderivat | Interest rate derivative | Energiehandel | Energy trade | Energiemarkt | Energy market |
| 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/10011403170