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," Birkbeck Working Papers in Economics and Finance 0507, Birkbeck, Department of Economics, Mathematics & Statistics.
References listed on IDEAS
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More about this item
Keywords
Energy derivatives; mean reversion; jump diffusion; electricity spot and forward.;All these keywords.
JEL classification:
- G - Financial Economics
NEP fields
This paper has been announced in the following NEP Reports:- NEP-ENE-2005-04-16 (Energy Economics)
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