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(Chapter / Bokkapittel / AcceptedVersion; Peer reviewed, 2014)
In this paper we derive power futures prices from a two-factor spot model being a generalization of the classical Schwartz–Smith commodity dynamics. We include non-Gaussian effects by introducing Lévy processes as the ...
(Chapter / Bokkapittel / AcceptedVersion; Peer reviewed, 2014)
Published by Palgrave Macmillan. Reproduced with permission of Palgrave Macmillan. This extract is taken from the author's original manuscript and has not been edited. The definitive, published, version of record is available ...