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Pricing in electricity markets : a mean reverting jump diffusion model with seasonality

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URI: https://hdl.handle.net/10016/12137
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pricing_cartea_2005.pdf (337.43 KB)
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2005-09-02
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In this paper we present a mean-reverting jump diffusion model for the electricity spot price and derive the corresponding forward in closed-form. Based on historical spot data and forward data from England and Wales we calibrate the model and present months, quarters, and seasons–ahead forward surfaces
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Energy derivatives, Electricity, Forward curve, Forward surfaces
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