Stochastic Modeling of Wind Derivatives in Energy Markets
We model the logarithm of the spot price of electricity with a normal inverse Gaussian (NIG) process and the wind speed and wind power production with two Ornstein–Uhlenbeck processes. In order to reproduce the correlation between the spot price and the wind power production, namely between a...
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| Principais autores: | , , |
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| Formato: | Artigo |
| Idioma: | Inglês |
| Publicado em: |
MDPI AG
2018-05-01
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| Colecção: | Risks |
| Assuntos: | |
| Acesso em linha: | http://www.mdpi.com/2227-9091/6/2/56 |
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