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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Volume (Year): 12 (2005)
Issue (Month): 4 ()
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References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
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