Pricing Electricity Forwards under Stochastic Volatility

Based on the peculiarities of electricity as underlying commodity of forward contracts this paper develops a time-continuous pricing model for short-term electricity forwards.

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Year of publication:	2001-05-01
Authors:	Kellerhals, B. Philipp
Subject:	Bewertung \| Forward-Kontrakt \| Kalman-Filter \| Elektrischer Strom \| electricity forwards

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Extent:	232448 bytes 29 p. application/pdf
Type of publication:	Book / Working Paper
Language:	English
Classification:	G13 - Contingent Pricing; Futures Pricing ; Financial theory ; Individual Working Papers, Preprints ; No country specification
Source:	USB Cologne (business full texts)

Persistent link: https://www.econbiz.de/10005846138