Pricing in Electricity Markets: a Mean Reverting Jump Diffusion Model with Seasonality
AbstractIn 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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Bibliographic InfoPaper provided by EconWPA in its series Finance with number 0501011.
Length: 28 pages
Date of creation: 21 Jan 2005
Date of revision: 10 Sep 2005
Note: Type of Document - pdf; pages: 28
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Energy derivatives; mean reversion; jump diffusion; electricity spot and forward.;
Other versions of this item:
- Alvaro Cartea & Marcelo Figueroa, 2005. "Pricing in Electricity Markets: A Mean Reverting Jump Diffusion Model with Seasonality," Applied Mathematical Finance, Taylor and Francis Journals, vol. 12(4), pages 313-335.
- Cartea, Álvaro & Figueroa, Marcelo G., 2005. "Pricing in electricity markets : a mean reverting jump diffusion model with seasonality," Open Access publications from Universidad Carlos III de Madrid info:hdl:10016/12199, Universidad Carlos III de Madrid.
- Alvaro Cartea & Marcelo Gustavo Figueroa, 2005. "Pricing in Electricity Markets: a Mean Reverting Jump Diffusion Model with Seasonality," Birkbeck Working Papers in Economics and Finance 0507, Birkbeck, Department of Economics, Mathematics & Statistics.
- G - Financial Economics
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