A Non‐Gaussian Ornstein–Uhlenbeck Process for Electricity Spot Price Modeling and Derivatives Pricing
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Benth, F.E., Kallsen, J., Meyer‐Brandis, T., 2007. A Non‐Gaussian Ornstein–Uhlenbeck Process for Electricity Spot Price Modeling and Derivatives Pricing. Applied Mathematical Finance 14, 153–169. https://doi.org/10.1080/13504860600725031
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