Pricing in Electricity Markets: A Mean Reverting Jump Diffusion Model with Seasonality
Author:
Publisher
Informa UK Limited
Subject
Applied Mathematics,Finance
Link
http://www.tandfonline.com/doi/pdf/10.1080/13504860500117503
Reference17 articles.
1. A Simplified Jump Process for Common Stock Returns
2. A note on arbitrage‐free pricing of forward contracts in energy markets
3. Arbitrage Theory in Continuous Time
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