Joint econometric modeling of spot electricity prices, forwards and options
Alain Monfort; Olivier Féron
| Year of publication: |
2012
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|---|---|
| Authors: | Monfort, Alain ; Féron, Olivier |
| Published in: |
Review of derivatives research. - Norwell, Mass. [u.a.] : Springer, ISSN 1380-6645, ZDB-ID 1387516-4. - Vol. 15.2012, 3, p. 217-256
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| Subject: | Electricity derivative pricing | Spikes | Car processes | Stochastic discount factor | Kitagawa-Hamilton filter | Strompreis | Electricity price | Derivat | Derivative | Optionspreistheorie | Option pricing theory | Stochastischer Prozess | Stochastic process | Elektrizität | Electricity | Volatilität | Volatility | Deutschland | Germany | Diskontierung | Discounting | Spotmarkt | Spot market |
| Extent: | graph. Darst. |
|---|---|
| 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/10009709687