A Pricing Measure to Explain the Risk Premium in Power Markets
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Publication:2940777
DOI10.1137/13093604XzbMath1308.91156arXiv1308.3378OpenAlexW2963233659MaRDI QIDQ2940777
Fred Espen Benth, Salvador Ortiz-Latorre
Publication date: 20 January 2015
Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1308.3378
Processes with independent increments; Lévy processes (60G51) Stochastic models in economics (91B70) Applications of stochastic analysis (to PDEs, etc.) (60H30) Martingales with continuous parameter (60G44) Derivative securities (option pricing, hedging, etc.) (91G20)
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