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

This paper presents a mean-reverting jump diffusion model for the electricity spot price and derives the corresponding forward price in closed-form. Based on historical spot data and forward data from England and Wales the model is calibrated and months, quarters, and seasons-ahead forward surfaces are presented.

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Year of publication:	2005
Authors:	Cartea, Alvaro ; Figueroa, Marcelo
Published in:	Applied Mathematical Finance. - Taylor & Francis Journals, ISSN 1350-486X. - Vol. 12.2005, 4, p. 313-335
Publisher:	Taylor & Francis Journals
Subject:	Energy derivatives \| electricity \| forward curve \| forward surfaces

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Extent:	text/html
Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005462506