THE NORMAL INVERSE GAUSSIAN DISTRIBUTION AND SPOT PRICE MODELLING IN ENERGY MARKETS (Q3022099)
From MaRDI portal
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | THE NORMAL INVERSE GAUSSIAN DISTRIBUTION AND SPOT PRICE MODELLING IN ENERGY MARKETS |
scientific article |
Statements
THE NORMAL INVERSE GAUSSIAN DISTRIBUTION AND SPOT PRICE MODELLING IN ENERGY MARKETS (English)
0 references
22 June 2005
0 references
energy markets
0 references
heavy tails
0 references
price jumps
0 references
normal inverse Gaussian distribution
0 references
Lévy processes
0 references
incomplete markets
0 references
arbitrage-free pricing of derivatives
0 references
0 references
