An Ambit Stochastic Approach to Pricing Electricity Forward Contracts: The Case of the German Energy Market
We propose an ambit stochastic model to study the electricity forward prices. We provide a detailed analysis of the probabilistic properties of such model, discussing the related martingale conditions and deriving concrete implementation of it for the related underlying spot price. The latter is obt...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
Hindawi Limited
2015-01-01
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| Series: | Journal of Probability and Statistics |
| Online Access: | http://dx.doi.org/10.1155/2015/626020 |