A two-factor model for the electricity forward market
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Publication:3395734
DOI10.1080/14697680802126530zbMath1169.91370OpenAlexW2150313108MaRDI QIDQ3395734
Reik H. Börger, Rüdiger Kiesel, Schindlmayr, G.
Publication date: 13 September 2009
Published in: Quantitative Finance (Search for Journal in Brave)
Full work available at URL: http://www.ssoar.info/ssoar/handle/document/22123
Multisectoral models in economics (91B66) Derivative securities (option pricing, hedging, etc.) (91G20)
Related Items (20)
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Cites Work
- Electricity prices and power derivatives: evidence from the Nordic Power Exchange
- THE NORMAL INVERSE GAUSSIAN DISTRIBUTION AND SPOT PRICE MODELLING IN ENERGY MARKETS
- Pricing in Electricity Markets: A Mean Reverting Jump Diffusion Model with Seasonality
- On the distributional distance between the lognormal LIBOR and swap market models
- Basics of electricity derivative pricing in competitive markets
- Pricing electricity risk by interest rate methods
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