Pricing in Electricity Markets
Auteur : Álvaro Cartea
Date de publication : 2005
Éditeur : School of Economics, Mathematics and Statistics, Birkbeck College, University of London
Nombre de pages : 29
Résumé du livre
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.