Application of the Esscher Transform to Pricing Forward Contracts on Energy Markets in a Fuzzy Environment

The paper is dedicated to modeling electricity spot prices and pricing forward contracts on energy markets. The underlying dynamics of electricity spot prices is governed by a stochastic mean reverting diffusion with jumps having mixed-exponential distribution. Application of financial mathematics a...

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Detalles Bibliográficos
Autores principales: Nowak, Piotr, Pawłowski, Michał
Formato: Online Artículo Texto
Lenguaje:English
Publicado: MDPI 2023
Materias:
Article
Acceso en línea:https://www.ncbi.nlm.nih.gov/pmc/articles/PMC10048341/
https://www.ncbi.nlm.nih.gov/pubmed/36981415
http://dx.doi.org/10.3390/e25030527

Internet

https://www.ncbi.nlm.nih.gov/pmc/articles/PMC10048341/
https://www.ncbi.nlm.nih.gov/pubmed/36981415
http://dx.doi.org/10.3390/e25030527

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