A STRUCTURAL RISK-NEUTRAL MODEL OF ELECTRICITY PRICES

DOI10.1142/S021902490900552XzbMath1188.91069MaRDI QIDQ3655551

Adrien Nguyen Huu, Luciano Campi, René Aïd, Nizar Touzi

Publication date: 8 January 2010

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

zbMATH Keywords

electricity pricesenergy marketsforward contractrisk-neutral probabilityno-arbitrage pricingfuel prices

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Microeconomic theory (price theory and economic markets) (91B24) Financial applications of other theories (91G80)

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• Arbitrage Theory in Continuous Time