Pricing in Electricity Markets: a Mean Reverting Jump Diffusion Model with Seasonality

In this paper we present a mean-reverting jump diffusion model for the electricity spot price. We obtain a closed-form solution for forward contracts and calibrate it to market data from England and Wales. Finally, based on the calibrated forward curve we present months, quarters, and seasons-ahead forward surfaces.

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Year of publication:	2005-01-21
Authors:	Cartea, Alvaro ; Figueroa, Marcelo_Gustavo
Institutions:	EconWPA
Subject:	Energy derivatives \| mean reversion \| jump diffusion \| electricity spot and forward

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Extent:	application/pdf
Series:	Finance.
Type of publication:	Book / Working Paper
Notes:	Type of Document - pdf; pages: 28 28 pages
Classification:	G - Financial Economics
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005413200