Valuation of forward contract price in energy markets described by a fuzzy-stochastic model and mathematical algorithms: a case study of the PJM western hub real-time peak market
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Cites work
- scientific article; zbMATH DE number 1183933 (Why is no real title available?)
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- A fuzzy approach for R\&D compound option valuation
- A jump-diffusion model for option pricing under fuzzy environments
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- Calibration and simulation of Heston model
- Computational Science - ICCS 2004
- Electricity prices and power derivatives: evidence from the Nordic Power Exchange
- Forward price and fitting of electricity Nord Pool market under regime-switching two-factor model
- Fuzzy sets
- Mathematics of fuzzy sets and fuzzy logic
- Maximum likelihood estimation of a compound Poisson process
- Minimizing the probability of ruin: optimal per-loss reinsurance
- Modelling energy spot prices by volatility modulated Lévy-driven Volterra processes
- Modelling spikes and pricing swing options in electricity markets
- On theoretical pricing of options with fuzzy estimators
- Pricing in Electricity Markets: A Mean Reverting Jump Diffusion Model with Seasonality
- Real Longevity Insurance with a Deductible: Introduction to Advanced-Life Delayed Annuities (ALDA)
- The application of nonlinear fuzzy parameters PDE method in pricing and hedging European options
- Time-changed Ornstein-Uhlenbeck processes and their applications in commodity derivative models
- Valuation of option price in commodity markets described by a Markov-switching model: a case study of WTI crude oil market
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