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:	2005-03
Authors:	Cartea, Alvaro ; Figueroa, Marcelo Gustavo
Institutions:	Birkbeck, Department of Economics, Mathematics & Statistics

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Extent:	application/pdf
Series:	Birkbeck Working Papers in Economics and Finance.
Type of publication:	Book / Working Paper
Language:	English
Notes:	Number 0507
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005509626