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

Cartea, Álvaro; Figueroa, Marcelo G.

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

Author(s): Cartea, Álvaro; Figueroa, Marcelo G.

Issued date: 2005-09-02

Other version: http://hdl.handle.net/10016/12199

Keywords: Energy derivatives , Electricity , Forward curve , Forward surfaces

URI: http://hdl.handle.net/10016/12137

Rights: Atribución-NoComercial-SinDerivadas 3.0 España

Abstract:

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, [+]

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