A STRUCTURAL RISK-NEUTRAL MODEL OF ELECTRICITY PRICES
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Publication:3655551
DOI10.1142/S021902490900552XzbMath1188.91069MaRDI QIDQ3655551
Adrien Nguyen Huu, Luciano Campi, René Aïd, Nizar Touzi
Publication date: 8 January 2010
Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)
electricity prices; energy markets; forward contract; risk-neutral probability; no-arbitrage pricing; fuel prices
91G60: Numerical methods (including Monte Carlo methods)
91B24: Microeconomic theory (price theory and economic markets)
91G80: Financial applications of other theories
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