A structural Heath–Jarrow–Morton framework for consistent intraday spot and futures electricity prices

W.J. Hinderks, R. Korn and A. Wagner

Quantitative Finance, 2020, vol. 20, issue 3, 347-357

Abstract: The framework is based on stochastic processes with economic interpretations and is consistent with the initial forward price curve

Date: 2020
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DOI: 10.1080/14697688.2019.1687927

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