Pricing on electricity market based on coupled-continuous-time-random-walk concept

Physica A: Statistical Mechanics and its Applications

Volumn 387, Issue 22, 2008, Pages 5503-5510

  Broszkiewicz Suwaj, Ewa ^a   Jurlewicz, Agnieszka ^a  

^a WROCLAW UNIVERSITY OF TECHNOLOGY   (Poland)

Author keywords

Coupled continuous time random walk; Diffusion with jumps; Electricity market; Option pricing

Indexed keywords

BOOLEAN FUNCTIONS; CONTINUOUS TIME SYSTEMS; DIFFUSION; DYNAMICS; FINANCE; QUANTUM CHEMISTRY; SEMICONDUCTOR DOPING; STANDARDS;

(E ,2E) THEORY; CONTINUOUS-TIME (CT); CONTINUOUS-TIME RANDOM WALK (CTRW); DIFFUSION MODELING; ELECTRICITY MARKETS; ELSEVIER (CO); EUROPEAN; FORWARD RATES; MODEL OF ELECTRICITY MARKET; OPTION PRICING; PRICING FORMULAE; SEMIMARTINGALES; TIME INTERVALS;

ECONOMICS;

EID: 47649098813     PISSN: 03784371     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.physa.2008.05.042     Document Type: Article

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