Electronic Resource
350 Main Street , Malden , MA 02148 , USA , and 9600 Garsington Road , Oxford OX4 2DQ , UK .
:
Blackwell Publishing, Inc.
Mathematical finance
15 (2005), S. 0
ISSN:
1467-9965
Source:
Blackwell Publishing Journal Backfiles 1879-2005
Topics:
Mathematics
,
Economics
Notes:
A method based on transformations of well-known solutions of term structure equations is presented in order to incorporate Martin Barlow's spot price model for electricity into a model for future prices on electricity. The setting for the evolution of term structures is chosen in the spirit of Da Prato and Zabczyk.
Type of Medium:
Electronic Resource
URL:
http://dx.doi.org/10.1111/j.0960-1627.2005.00216.x
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