The non-Markovian approach to the valuation and hedging of European contingent claims on power with scaling spikes (Q1003517)
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scientific article; zbMATH DE number 5523003
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| English | The non-Markovian approach to the valuation and hedging of European contingent claims on power with scaling spikes |
scientific article; zbMATH DE number 5523003 |
Statements
The non-Markovian approach to the valuation and hedging of European contingent claims on power with scaling spikes (English)
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4 March 2009
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non-Markovian stochastic process for power prices with spikes
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contingent claims on power with spikes
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power forward prices for power with spikes
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scaling probability distribution for the magnitude of spikes
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0.9605498909950256
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0.848388135433197
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