A jump diffusion model for spot electricity prices and market price of risk (Q1673029): Difference between revisions
From MaRDI portal
Set OpenAlex properties. |
ReferenceBot (talk | contribs) Changed an Item |
||
| Property / cites work | |||
| Property / cites work: Transform Analysis and Asset Pricing for Affine Jump-diffusions / rank | |||
Normal rank | |||
| Property / cites work | |||
| Property / cites work: Electricity prices and power derivatives: evidence from the Nordic Power Exchange / rank | |||
Normal rank | |||
| Property / cites work | |||
| Property / cites work: On an Identity for Stochastic Integrals / rank | |||
Normal rank | |||
| Property / cites work | |||
| Property / cites work: On Transforming a Certain Class of Stochastic Processes by Absolutely Continuous Substitution of Measures / rank | |||
Normal rank | |||
| Property / cites work | |||
| Property / cites work: Bond Market Structure in the Presence of Marked Point Processes / rank | |||
Normal rank | |||
| Property / cites work | |||
| Property / cites work: Q4840212 / rank | |||
Normal rank | |||
| Property / cites work | |||
| Property / cites work: Q3002198 / rank | |||
Normal rank | |||
Latest revision as of 14:53, 16 July 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A jump diffusion model for spot electricity prices and market price of risk |
scientific article |
Statements
A jump diffusion model for spot electricity prices and market price of risk (English)
0 references
11 September 2018
0 references
jump diffusion
0 references
electricity price modeling
0 references
market price of risk
0 references
Kalman filter
0 references
0 references
