A STRUCTURAL RISK-NEUTRAL MODEL OF ELECTRICITY PRICES (Q3655551)

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A STRUCTURAL RISK-NEUTRAL MODEL OF ELECTRICITY PRICES
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    title
    A STRUCTURAL RISK-NEUTRAL MODEL OF ELECTRICITY PRICES (English)
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    author
    René Aïd
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    Luciano Campi
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    Adrien Nguyen Huu
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    Nizar Touzi
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    publication date
    8 January 2010
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    Mathematics Subject Classification ID
    91B24
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    91G80
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    91B25
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    91G60
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    zbMATH DE Number
    5654737
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    zbMATH Keywords
    energy markets
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    electricity prices
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    fuel prices
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    risk-neutral probability
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    no-arbitrage pricing
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    forward contract
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