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The Market Price of Risk for Delivery Periods: Pricing Swaps and Options in Electricity Markets. (2022). Schmeck, Maren D ; Kemper, Annika ; Kh, Anna.
In: Papers.
RePEc:arx:papers:2002.07561.

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  3. BENTH, F. E., PICCIRILLI, M., AND VARGIOLU, T. (2019): “Mean-Reverting Additive Energy Forward Curves in a Heath–Jarrow–Morton Framework”. In: Mathematics and Financial Economics, pp. 1–35.

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  9. HESTON, S. L. (1993): “A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options”. In: The Review of Financial Studies 6(2), pp. 327–343.

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  14. SCHNEIDER, L. AND TAVIN, B. (2018): “From the Samuelson Volatility Effect to a Samuelson Correlation Effect: An Analysis of Crude Oil Calendar Spread Options”. In: Journal of Banking and Finance 95, pp. 185–202.

  15. SHREVE, S. E. (2004): Stochastic Calculus for Finance II. Continuous-Time Models. Springer Finance Series.
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  16. WALTER, W. (1996): Gewöhnliche Differentialgleichungen. 6th ed. Springer.
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