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~subject:"Energy derivatives"
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Energy derivatives
jump diffusion
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Arbitrage-free Condition
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HJM Models
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Jump-Diffusion Models
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electricity spot and forward
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homogeneity
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local scale invariance
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mean reversion
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option pricing
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partial differential difference equations
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Cartea, Alvaro
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Figueroa, Marcelo_Gustavo
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Pricing in Electricity Markets: a Mean Reverting
Jump
Diffusion
Model with Seasonality
Cartea, Alvaro
;
Figueroa, Marcelo_Gustavo
-
EconWPA
-
2005
In this paper we present a mean-reverting
jump
diffusion
model for the electricity spot price. We obtain a closed …
Persistent link: https://www.econbiz.de/10005413200
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