Valuation and hedging of European contingent claims on power with spikes: a non-Markovian approach

DOI10.1023/B:ENGI.0000031203.43548.B6MaRDI QIDQ701832zbMATH OpenOpenAlexFDO

Authors Valery A. Kholodnyi

Publication date 14 January 2005

Published in Journal of Engineering Mathematics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1023/b:engi.0000031203.43548.b6

zbMATH Keywords

Contingent claims on powernon-Markovian price processespower prices with spikes

Mathematics Subject Classification ID

Signal detection and filtering (aspects of stochastic processes) (60G35) Microeconomic theory (price theory and economic markets) (91B24)

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