An Ambit Stochastic Approach to Pricing Electricity Forward Contracts: The Case of the German Energy Market
We propose an ambit stochastic model to study the electricity forward prices. We provide a detailed analysis of the probabilistic properties of such model, discussing the related martingale conditions and deriving concrete implementation of it for the related underlying spot price. The latter is obt...
Saved in:
| Main Authors: | , |
|---|---|
| Format: | Article |
| Language: | English |
| Published: |
Wiley
2015-01-01
|
| Series: | Journal of Probability and Statistics |
| Online Access: | http://dx.doi.org/10.1155/2015/626020 |
| Tags: |
Add Tag
No Tags, Be the first to tag this record!
|