Using Affine Jump Diffusion Models for Modelling and Pricing Electricity Derivatives (Q3502202)
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scientific article; zbMATH DE number 5278243
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| English | Using Affine Jump Diffusion Models for Modelling and Pricing Electricity Derivatives |
scientific article; zbMATH DE number 5278243 |
Statements
Using Affine Jump Diffusion Models for Modelling and Pricing Electricity Derivatives (English)
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22 May 2008
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regime-switching spike model
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affine jump diffusion models
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electricity derivatives
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seasonal risk premium
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0.8467040657997131
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0.8409976959228516
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0.8127318620681763
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0.8118147850036621
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0.803835391998291
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