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"A numerical algorithm for pricing electricity derivatives for ..."
Claudio Albanese, Harry Lo, Stathis Tompaidis (2012)
- Claudio Albanese, Harry Lo, Stathis Tompaidis:
A numerical algorithm for pricing electricity derivatives for jump-diffusion processes based on continuous time lattices. Eur. J. Oper. Res. 222(2): 361-368 (2012)
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