Modeling electricity spot prices : combining mean reversion, spikes, and stochastic volatility

Klaus Mayer, Thomas Schmid and Florian Weber

Year of publication:	2015
Authors:	Mayer, Klaus ; Schmid, Thomas ; Weber, Florian
Published in:	The European journal of finance. - Abingdon, Oxon : Routledge, Taylor & Francis Group, ISSN 1351-847X, ZDB-ID 1282412-4. - Vol. 21.2015, 4/6, p. 292-315
Subject:	electricity \| Lévy processes \| mean reversion \| spikes \| stochastic volatility \| Stochastischer Prozess \| Stochastic process \| Volatilität \| Volatility \| Strompreis \| Electricity price \| Mean Reversion \| Mean reversion \| Elektrizitätswirtschaft \| Electric power industry \| Spotmarkt \| Spot market \| Optionspreistheorie \| Option pricing theory \| Elektrizität \| Electricity

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