Zobrazeno 1 - 2
of 2
pro vyhledávání: '"E.S.N. Imreizeeq"'
Publikováno v:
IFAC Proceedings Volumes. 42:1457-1462
We consider a slight perturbation of the Schwartz-Smith model for the electricity futures prices and the resulting modified spot model. Using the martingale property of the modified price under the risk neutral measure, we derive the arbitrage free m
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::5af161639af7a8f88cbe04c44dc5d0a0
https://doi.org/10.3182/20090706-3-fr-2004.00243
https://doi.org/10.3182/20090706-3-fr-2004.00243
Publikováno v:
Proceedings of the 41st ISCIE International Symposium on Stochastic Systems Theory and its Applications (SSS'09), 217-222
STARTPAGE=217;ENDPAGE=222;TITLE=Proceedings of the 41st ISCIE International Symposium on Stochastic Systems Theory and its Applications (SSS'09)
STARTPAGE=217;ENDPAGE=222;TITLE=Proceedings of the 41st ISCIE International Symposium on Stochastic Systems Theory and its Applications (SSS'09)
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::d269393de1b02b50c2d4a8b5960915ce
https://research.utwente.nl/en/publications/identification-of-electricity-spot-models-from-futures-prices(64d2a536-c7e0-4c32-9b61-1adbaf54f0ad).html
https://research.utwente.nl/en/publications/identification-of-electricity-spot-models-from-futures-prices(64d2a536-c7e0-4c32-9b61-1adbaf54f0ad).html
