Pricing electricity derivatives within a Markov regime-switching model: a risk premium approach - Janczura, Joanna (Mathematical methods of operations research (Heidelberg, Germany), 2014)
Keywords: Business and Management; Calculus of Variations and Optimal Control; Optimization; Calibration; Commodities; Data analysis; Derivatives; Economic models; Economic statistics; Economic theory; Electricity; Electricity generation; Energy economics; Markov models; Mathematical analysis; Mathematical models; Mathematics; Mathematics and Statistics; Operations research; Operations Research/Decision Theory; Options markets; Original Article; Pricing; Pricing policies; Risk; Risk premiums; Studies; Time series; Risk premium; Electricity spot price; Regime-switching model; Derivatives pricing