A numerical algorithm for pricing electricity derivatives for jump-diffusion processes based on continuous time lattices
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References listed on IDEAS
- Helyette Geman & A. Roncoroni, 2006. "Understanding the Fine Structure of Electricity Prices," Post-Print halshs-00144198, HAL.
- repec:dau:papers:123456789/1433 is not listed on IDEAS
- Hélyette Geman & Andrea Roncoroni, 2006. "Understanding the Fine Structure of Electricity Prices," The Journal of Business, University of Chicago Press, vol. 79(3), pages 1225-1262, May.
- Albanese, Claudio, 2006. "Operator Methods, Abelian Processes And Dynamic Conditioning," MPRA Paper 5246, University Library of Munich, Germany, revised 06 Nov 2007.
- M. T. Barlow, 2002. "A Diffusion Model For Electricity Prices," Mathematical Finance, Wiley Blackwell, vol. 12(4), pages 287-298.
CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Weron, Rafał, 2014.
"Electricity price forecasting: A review of the state-of-the-art with a look into the future,"
International Journal of Forecasting,
Elsevier, vol. 30(4), pages 1030-1081.
- Rafal Weron, 2014. "Electricity price forecasting: A review of the state-of-the-art with a look into the future," HSC Research Reports HSC/14/07, Hugo Steinhaus Center, Wroclaw University of Technology.
- Mitra, Sovan & Date, Paresh & Mamon, Rogemar & Wang, I-Chieh, 2013. "Pricing and risk management of interest rate swaps," European Journal of Operational Research, Elsevier, vol. 228(1), pages 102-111.
- Islyaev, Suren & Date, Paresh, 2015. "Electricity futures price models: Calibration and forecasting," European Journal of Operational Research, Elsevier, vol. 247(1), pages 144-154.
More about this item
KeywordsFinance; Dynamic programming; Continuous time Markov chains; Electricity derivatives;
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