Using Affine Jump Diffusion Models for Modelling and Pricing Electricity Derivatives
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CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
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More about this item
KeywordsRegime-switching spike model; affine jump diffusion models; electricity derivatives; seasonal risk premium; JEL Classification: G13; G12 and G33;
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- G33 - Financial Economics - - Corporate Finance and Governance - - - Bankruptcy; Liquidation
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