Using Affine Jump Diffusion Models for Modelling and Pricing Electricity Derivatives
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Cites work
- A DIFFUSION MODEL FOR ELECTRICITY PRICES
- A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity
- A Non‐Gaussian Ornstein–Uhlenbeck Process for Electricity Spot Price Modeling and Derivatives Pricing
- A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
- An equilibrium characterization of the term structure
- An Intertemporal Capital Asset Pricing Model
- Electricity prices and power derivatives: evidence from the Nordic Power Exchange
- Energy futures prices: term structure models with Kalman filter estimation
- Martingales and arbitrage in multiperiod securities markets
- Pricing in Electricity Markets: A Mean Reverting Jump Diffusion Model with Seasonality
- Transform Analysis and Asset Pricing for Affine Jump-diffusions
Cited in
(12)- Electricity prices and power derivatives: evidence from the Nordic Power Exchange
- Valuation of swing options under a regime-switching mean-reverting model
- Pricing electricity derivatives within a Markov regime-switching model: a risk premium approach
- Commodity price dynamics and derivative valuation: a review
- Stochastic modeling of electricity and related markets.
- A Lattice‐Based Method for Pricing Electricity Derivatives Under the Threshold Model
- Modelling electricity prices: a time change approach
- Estimating fast mean-reverting jumps in electricity market models
- Modeling and Computation of CO2Allowance Derivatives Under Jump-Diffusion Processes
- Fast pricing of energy derivatives with mean-reverting jump-diffusion processes
- Valuation of option price in commodity markets described by a Markov-switching model: a case study of WTI crude oil market
- A Barndorff-Nielsen and Shephard model with leverage in Hilbert space for commodity forward markets
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