Pages that link to "Item:Q3404103"

The following pages link to Modelling spikes and pricing swing options in electricity markets (Q3404103):

Displaying 32 items.

• Modeling spot price dependence in Australian electricity markets with applications to risk management (Q342246) (← links)
• Dual pricing of multi-exercise options under volume constraints (Q483695) (← links)
• A nonparametric model for spot price dynamics and pricing of futures contracts in electricity markets (Q905391) (← links)
• Pricing electricity forwards under future information on the stochastic mean-reversion level (Q2026537) (← links)
• Forward price and fitting of electricity Nord Pool market under regime-switching two-factor model (Q2037761) (← links)
• Exact simulation of normal tempered stable processes of OU type with applications (Q2080363) (← links)
• Efficient simulation of \(p\)-tempered \(\alpha\)-stable OU processes (Q2104006) (← links)
• Long-term swings and seasonality in energy markets (Q2315654) (← links)
• Pricing and risk of swing contracts in natural gas markets (Q2418428) (← links)
• Swing options in commodity markets: a multidimensional Lévy diffusion model (Q2441571) (← links)
• Jump-diffusion models with two stochastic factors for pricing swing options in electricity markets with partial-integro differential equations (Q2633523) (← links)
• Markov models for commodity futures: theory and practice (Q3063849) (← links)
• Joint Modelling of Gas and Electricity Spot Prices (Q3176519) (← links)
• Modelling Electricity Futures by Ambit Fields (Q3191820) (← links)
• Modelling Electricity Prices with Forward Looking Capacity Constraints (Q3395723) (← links)
• Model Uncertainty in Commodity Markets (Q3465256) (← links)
• Pricing exchange options with correlated jump diffusion processes (Q4957241) (← links)
• General closed-form basket option pricing bounds (Q5001150) (← links)
• Modelling electricity prices: a time change approach (Q5001192) (← links)
• Optimal Cross-Border Electricity Trading (Q5065091) (← links)
• Estimating fast mean-reverting jumps in electricity market models (Q5140350) (← links)
• Exact Simulation of Variance Gamma-Related OU Processes: Application to the Pricing of Energy Derivatives (Q5149267) (← links)
• Fast Pricing of Energy Derivatives with Mean-Reverting Jump-diffusion Processes (Q5164999) (← links)
• SWING OPTION PRICING BY DYNAMIC PROGRAMMING WITH B-SPLINE DENSITY PROJECTION (Q5210912) (← links)
• On the Optimal Exercise Boundaries of Swing Put Options (Q5219294) (← links)
• ELECTRICITY FUTURES PRICE MODELING WITH LÉVY TERM STRUCTURE MODELS (Q5245888) (← links)
• DUAL REPRESENTATIONS FOR GENERAL MULTIPLE STOPPING PROBLEMS (Q5247424) (← links)
• Normal Tempered Stable Processes and the Pricing of Energy Derivatives (Q5886359) (← links)
• Valuation of option price in commodity markets described by a Markov-switching model: a case study of WTI crude oil market (Q6089610) (← links)
• 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 (Q6563136) (← links)
• Swing option pricing consistent with futures smiles (Q6581586) (← links)
• Spike and hike modeling for interest rate derivatives: with an application to SOFR caplets (Q6657681) (← links)