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

DOI10.1023/B:ENGI.0000031203.43548.B6zbMATH Open1080.91037OpenAlexW1998267828MaRDI QIDQ701832FDOQ701832

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

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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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