Stochastic approach to model spot price and value forward contracts on energy markets under uncertainty
نویسندگان
چکیده
Abstract The paper deals with a model of electricity spot prices. proposed dynamics prices is driven by mean reverting diffusion jumps having hyperexponential distribution. analytical formula for the forward contract’s price derived in crisp case. Inasmuch as parameters are considered to be evaluated imprecisely, their fuzzy counterparts introduced. With usage arithmetic, expression derived. Several numerical examples highlighting attributes brought out.
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ژورنال
عنوان ژورنال: Journal of Ambient Intelligence and Humanized Computing
سال: 2021
ISSN: ['1868-5137', '1868-5145']
DOI: https://doi.org/10.1007/s12652-021-03435-y