Pricing electricity forwards under future information on the stochastic mean-reversion level
Markus Hess
| Year of publication: |
2020
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|---|---|
| Authors: | Hess, Markus |
| Published in: |
Decisions in economics and finance : a journal of applied mathematics. - Milano : Springer Italia, ISSN 1129-6569, ZDB-ID 2023516-1. - Vol. 43.2020, 2, p. 751-767
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| Subject: | Electricity spot/forward/futures price | Arithmetic multi-factor model | Pure-jump Ornstein-Uhlenbeck process | Lévy-type process | Poisson random measure | Stochastic differential equation | Initially enlarged filtration | Information premium | Stochastischer Prozess | Stochastic process | Strompreis | Electricity price | Optionspreistheorie | Option pricing theory | Mean Reversion | Mean reversion | Risikoprämie | Risk premium | Volatilität | Volatility |
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1007/s10203-020-00307-6 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012427666