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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...
| Autores principales: | , |
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| Formato: | Online Artículo Texto |
| Lenguaje: | English |
| Publicado: |
MDPI
2023
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| 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 |