THE NORMAL INVERSE GAUSSIAN DISTRIBUTION AND SPOT PRICE MODELLING IN ENERGY MARKETS (Q3022099)
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scientific article; zbMATH DE number 2177860
| Language | Label | Description | Also known as |
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| default for all languages | No label defined |
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| English | THE NORMAL INVERSE GAUSSIAN DISTRIBUTION AND SPOT PRICE MODELLING IN ENERGY MARKETS |
scientific article; zbMATH DE number 2177860 |
Statements
THE NORMAL INVERSE GAUSSIAN DISTRIBUTION AND SPOT PRICE MODELLING IN ENERGY MARKETS (English)
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22 June 2005
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energy markets
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heavy tails
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price jumps
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normal inverse Gaussian distribution
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Lévy processes
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incomplete markets
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arbitrage-free pricing of derivatives
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0.7988356947898865
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0.7954975962638855
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0.7854413986206055
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0.7734183669090271
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0.7662370800971985
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