THE NORMAL INVERSE GAUSSIAN DISTRIBUTION AND SPOT PRICE MODELLING IN ENERGY MARKETS

DOI10.1142/S0219024904002360zbMath1107.91309MaRDI QIDQ3022099

Fred Espen Benth, Jūratė Šaltytė Benth

Publication date: 22 June 2005

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

zbMATH Keywords

Lévy processesheavy tailsincomplete marketsnormal inverse Gaussian distributionenergy marketsprice jumpsarbitrage-free pricing of derivatives

Mathematics Subject Classification ID

Microeconomic theory (price theory and economic markets) (91B24)

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Cites Work

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• Processes of normal inverse Gaussian type
• Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics
• A note on arbitrage‐free pricing of forward contracts in energy markets

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