Modelling electricity prices: a time change approach
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Cited in
(15)- The jump size distribution of the commodity spot price and its effect on futures and option prices
- A multiplicative seasonal component in commodity derivative pricing
- On the construction of hourly price forward curves for electricity prices
- Long-term swings and seasonality in energy markets
- Additive subordination and its applications in finance
- Electricity futures price models: calibration and forecasting
- Modelling electricity prices by the potential jump-diffusion
- A Non‐Gaussian Ornstein–Uhlenbeck Process for Electricity Spot Price Modeling and Derivatives Pricing
- Time-inhomogeneous polynomial processes in electricity spot price models
- Computational Science - ICCS 2004
- Option pricing in some non-Lévy jump models
- Prediction of electricity prices for non-regulated markets based on a power transformed mean reverting process
- Importance sampling for option pricing with feedforward neural networks
- Explicit option pricing with additive processes
- Time-of-use pricing of electricity in monopoly and oligopoly
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