Pricing in Electricity Markets: A Mean Reverting Jump Diffusion Model with Seasonality
نویسندگان
چکیده
منابع مشابه
Option Pricing under a Mean Reverting Process with Jump-Diffusion and Jump Stochastic Volatility
An alternative option pricing model is proposed, in which the asset prices follow the jump-diffusion and exhibits mean reversion. The stochastic volatility follows the jump-diffusion with mean reversion. We find a formulation for the European-style option in terms of characteristic functions.
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ژورنال
عنوان ژورنال: Applied Mathematical Finance
سال: 2005
ISSN: 1350-486X,1466-4313
DOI: 10.1080/13504860500117503