Analytical Valuation of a Full Requirements Contract in Terms of Power Spot Prices Following a Geometric Mean-Reverting Process and Load Following a Mean-Reverting Process

We present a model that allows for a relatively simple analytical valuation of a full requirements contract in terms of power spot prices and load in the case when power spot prices follow a geometric mean-reverting process and load follows a mean-reverting process. This model represents a practically important special case of our earlier model for an analytical valuation of a full requirements contract when the load is modeled directly

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Year of publication:	2018
Authors:	Kholodnyi, Valery
Publisher:	[2018]: [S.l.] : SSRN

Extent:	1 Online-Ressource (3 p)
Series:	Mathematics Preprint Archive ; Vol. 2002, Issue 2, pp 332-334
Type of publication:	Book / Working Paper
Language:	English
Notes:	Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments February 2002 erstellt
Source:	ECONIS - Online Catalogue of the ZBW

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