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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- Alvaro Escribano & J. Ignacio Peña & Pablo Villaplana, 2011.
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NBER Working Papers
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