A jump diffusion model for spot electricity prices and market price of risk (Q1673029)

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A jump diffusion model for spot electricity prices and market price of risk
scientific article

    Statements

    title
    A jump diffusion model for spot electricity prices and market price of risk (English)
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    author
    Ramaprasad Bhar
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    David B. Colwell
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    Yuewen Xiao
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    published in
    Physica A
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    publication date
    11 September 2018
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    zbMATH Keywords
    jump diffusion
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    electricity price modeling
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    market price of risk
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    Kalman filter
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    Identifiers

    Mathematics Subject Classification ID
    91G80
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    91B24
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    93E11
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    zbMATH DE Number
    6935094
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    OpenAlex ID
    W2075066899
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