A Non‐Gaussian Ornstein–Uhlenbeck Process for Electricity Spot Price Modeling and Derivatives Pricing

DOI10.1080/13504860600725031zbMath1160.91337OpenAlexW1973444515WikidataQ126260405 ScholiaQ126260405MaRDI QIDQ5297933

Thilo Meyer-Brandis, Fred Espen Benth, Jan Kallsen

Publication date: 16 July 2007

Published in: Applied Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/13504860600725031

zbMATH Keywords

additive processes Ornstein-Uhlenbeck processes electricity markets spot price modelling forward and futures pricing

Mathematics Subject Classification ID

Diffusion processes (60J60) Derivative securities (option pricing, hedging, etc.) (91G20)

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