In this paper, we present an analytical bid stack model for the electricity market which is extended to the case of an arbitrary number N of technology classes embedded in the production stack (esp. for N 2). As bid stack model, the proposed framework represents a structural model that...

This paper proposes an extended version of the analytical structural model for the electricity market developed in a previous paper. The presented electricity price process is driven by stochastic load and random plant availability as well as stochastic marginal generation cost factors embedded...

This paper presents an analytical structural model for the electricity price process driven by stochastic load as well as stochastic marginal generation costs in a multi-fuel stack framework covering the entire fuel switch dynamics. Moreover, the random character of available generation capacity...

This paper presents implied volatility smiles and skews for plain vanilla electricity options based on a new bid stack model developed in a previous paper. This underlying bid stack model for the electricity market is extended to the case of an arbitrary number N of technology classes embedded...