Pricing in Electricity Markets: a Mean Reverting Jump Diffusion Model with Seasonality
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- Alvaro Cartea & Marcelo Figueroa, 2005. "Pricing in Electricity Markets: A Mean Reverting Jump Diffusion Model with Seasonality," Applied Mathematical Finance, Taylor & Francis Journals, vol. 12(4), pages 313-335.
- Alvaro Cartea & Marcelo_Gustavo Figueroa, 2005. "Pricing in Electricity Markets: a Mean Reverting Jump Diffusion Model with Seasonality," Finance 0501011, University Library of Munich, Germany, revised 12 Sep 2005.
References listed on IDEAS
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More about this item
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2005-03-06 (All new papers)
- NEP-ENE-2005-03-06 (Energy Economics)
- NEP-FIN-2005-03-06 (Finance)
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