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- W301799244 abstract "We propose a new natural approach to modeling spikes in power prices based on a non-Markovian process. In contrast to the standard approaches we model spikes directly as self-reversing jumps. We also show how this approach can be used to value European contingent claims on power with spikes." @default.
- W301799244 created "2016-06-24" @default.
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- W301799244 date "2001-01-01" @default.
- W301799244 modified "2023-09-24" @default.
- W301799244 title "A Non-Markovian Process for Power Prices with Spikes and Valuation of European Contingent Claims on Power" @default.
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