Electricity derivatives pricing with forward-looking information
From MaRDI portal
Publication:1657496
DOI10.1016/j.jedc.2015.05.016zbMath1401.91577OpenAlexW3124922486MaRDI QIDQ1657496
Steffen Mahringer, Marcel Prokopczuk, Roland Füss
Publication date: 13 August 2018
Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)
Full work available at URL: https://www.alexandria.unisg.ch/225969/1/Electricityderivativespricingwithforward-lookinginformation_6-15.pdf
derivatives pricingenlargement of filtrationselectricity futuresforward-looking informationfundamental model
Financial applications of other theories (91G80) Derivative securities (option pricing, hedging, etc.) (91G20)
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