THE NORMAL INVERSE GAUSSIAN DISTRIBUTION AND SPOT PRICE MODELLING IN ENERGY MARKETS (Q3022099): Difference between revisions

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scientific article
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THE NORMAL INVERSE GAUSSIAN DISTRIBUTION AND SPOT PRICE MODELLING IN ENERGY MARKETS
scientific article

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    THE NORMAL INVERSE GAUSSIAN DISTRIBUTION AND SPOT PRICE MODELLING IN ENERGY MARKETS (English)
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    22 June 2005
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    energy markets
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    heavy tails
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    price jumps
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    normal inverse Gaussian distribution
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    Lévy processes
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    incomplete markets
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    arbitrage-free pricing of derivatives
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