RT Generic
T1 Pricing in electricity markets : a mean reverting jump diffusion model with seasonality
A1 Cartea, Álvaro
A1 Figueroa, Marcelo G.
AB 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 calibratethe model and present months, quarters, and seasons–ahead forward surfaces
YR 2005
FD 2005-09-02
LK https://hdl.handle.net/10016/12137
UL https://hdl.handle.net/10016/12137
LA eng
DS e-Archivo
RD 1 jun. 2024