Pricing electricity forwards under future information on the stochastic mean-reversion level (Q2026537)
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scientific article; zbMATH DE number 7349865
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| English | Pricing electricity forwards under future information on the stochastic mean-reversion level |
scientific article; zbMATH DE number 7349865 |
Statements
Pricing electricity forwards under future information on the stochastic mean-reversion level (English)
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19 May 2021
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electricity spot/forward/futures price
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arithmetic multi-factor model
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pure-jump Ornstein-Uhlenbeck process
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Lévy-type process
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Poisson random measure
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stochastic differential equation
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initially enlarged filtration
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information premium
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0.7780629396438599
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0.7659034729003906
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0.7648995518684387
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0.7634055614471436
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0.7542806267738342
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