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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UC3M Working papers. Economics
we022708, Universidad Carlos III de Madrid. Departamento de Economía.
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