Forward contract prices of electricity Nord Pool market: calibration and jump approximation
Author:
Publisher
Springer Science and Business Media LLC
Subject
Multidisciplinary
Link
https://link.springer.com/content/pdf/10.1007/s12046-022-02056-1.pdf
Reference15 articles.
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2. Schwartz E and Smith J E 2000 Short-term variations and long-term dynamics in commodity prices. Management Science. 46(7): 893–911
3. Lucia J J and Schwartz E S 2002 Electricity prices and power derivatives: Evidence from the nordic power exchange. Review of derivatives research. 5(1): 5–50
4. Benth F E, Ekeland L, Hauge R and Nielsen B R F 2003 A note on arbitrage-free pricing of forward contracts in energy markets. Applied Mathematical Finance. 10(4): 325–336
5. Bierbrauer M, Trück S and Weron R 2004 Modeling electricity prices with regime switching models. In: International Conference on Computational Science. Springer, Berlin, 859–867
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