Pricing electricity derivatives within a Markov regime-switching model: A risk premium approach

Mathematical Methods of Operations Research

Volumn 79, Issue 1, 2014, Pages 1-30

  Janczura, Joanna ^a  

^a WROCLAW UNIVERSITY OF TECHNOLOGY   (Poland)

Author keywords

Derivatives pricing; Electricity spot price; Regime switching model; Risk premium

Indexed keywords

EID: 84895059271     PISSN: 14322994     EISSN: 14325217     Source Type: Journal    
DOI: 10.1007/s00186-013-0451-8     Document Type: Article

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