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dc.contributor.authorKobe, Daniel-
dc.contributor.authorWoerner, Jeannette H.C.-
dc.date.accessioned2015-10-12T10:31:17Z-
dc.date.available2015-10-12T10:31:17Z-
dc.date.issued2015-09-22-
dc.identifier.urihttp://hdl.handle.net/2003/34269-
dc.identifier.urihttp://dx.doi.org/10.17877/DE290R-16346-
dc.description.abstractIn this paper we propose an alternative model for electricity spot prices based on oscillating Ornstein-Uhlenbeck processes. This model captures the characteristics of empirical data, especially the oscillating shape of the autocorrelation function. Furthermore, we show that our model leads to explicit formulas for forwards and options on forwards.en
dc.language.isoen-
dc.subjectelectricity spot price dataen
dc.subjectcontinuous time moving average processen
dc.subjectOrnstein-Uhlenbeck processen
dc.subjectderivative pricingen
dc.subjectseasonalitiesen
dc.subject.ddc610-
dc.titleOscillating Ornstein-Uhlenbeck processes and modelling of electricity pricesen
dc.typeTextde
dc.type.publicationtypepreprinten
dcterms.accessRightsopen access-
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