A closed-form solution for the price of cross-commodity electricity derivatives

Physica A: Statistical Mechanics and its Applications

Volumn 371, Issue 2, 2006, Pages 543-551

  Tsitakis, D ^a   Xanthopoulos, S ^a   Yannacopoulos, A N ^a  

^a UNIVERSITY OF THE AEGEAN   (Greece)

Author keywords

Closed form solutions; Energy derivatives valuation; Exponential Ornstein Uhlenbeck process

Indexed keywords

COSTS; ENERGY UTILIZATION; MATHEMATICAL MODELS;

CLOSED-FORM SOLUTIONS; ELECTRICITY DERIVATIVES; EXPONENTIAL ORNSTEIN-UHLENBECK PROCESS;

ELECTRIC UTILITIES;

EID: 33748681484     PISSN: 03784371     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.physa.2006.03.037     Document Type: Article

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