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Modeling electricity spot prices : combining mean-reversion, spikes and stochastic volatility

Mayer, Klaus; Schmid, Thomas; Weber, Florian - 2011

an approach to model spot prices that combines mean-reversion, spikes and stochastic volatility. Thereby we use different … ; Energy markets ; Lévy processes ; Mean-reversion ; Spikes ; Stochastic volatility ; GARCH …

Persistent link: https://www.econbiz.de/10009007249

Skewed generalized error distribution of financial assets and option pricing

Theodossiou, Panayiotis - In: Multinational finance journal : MF ; quarterly … 19 (2015) 3/4, pp. 223-266

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High-order short-time expansions for ATM option prices of exponential Lévy models

Figueroa-López, José E.; Gong, Ruoting; Houdré, Christian - In: Mathematical finance : an international journal of … 26 (2016) 3, pp. 516-557

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Exploring option pricing and hedging via volatility asymmetry

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Exchange options and spread options with stochastically correlated underlyings

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Performance of the Heston's stochastic volatility model : a study in Indian index options market

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Forecasting the conditional volatility of oil spot and futures prices with structural breaks and long memory models

Arouri, Mohamed; Lahiani, Amine; Lévy, Aldo; Nguyen, … - In: Energy economics 34 (2012) 1, pp. 283-293

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Modelling energy spot prices : empirical evidence from NYMEX

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Stochastic dynamical modelling of spot freight rates

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Realized volatility and jump testing in the Japanese electricity spot market

Ciarreta, Aitor; Muniain, Peru; Zarraga, Ainhoa - In: Empirical economics : a journal of the Institute for … 58 (2020) 3, pp. 1143-1166

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