A jump-diffusion model for pricing electricity under price-cap regulation
DOI10.1007/S40096-019-00308-6zbMATH Open1452.91309OpenAlexW2980325375WikidataQ126992456 ScholiaQ126992456MaRDI QIDQ2179029FDOQ2179029
Authors: Martin Kegnenlezom, Patrice Takam Soh, Martin L. D. Mbele Bidima, Y. Emvudu Wono 
Publication date: 12 May 2020
Published in: Mathematical Sciences (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s40096-019-00308-6
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Cites Work
- Title not available (Why is that?)
- Electricity prices and power derivatives: evidence from the Nordic Power Exchange
- Pricing in Electricity Markets: A Mean Reverting Jump Diffusion Model with Seasonality
- A Course in Financial Calculus
- MULTI-FACTOR JUMP-DIFFUSION MODELS OF ELECTRICITY PRICES
- Asymptotic exponential arbitrage and utility-based asymptotic arbitrage in Markovian models of financial markets
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