Pricing in Electricity Markets: a Mean Reverting Jump Diffusion Model with Seasonality

Álvaro Cartea () and Marcelo_Gustavo Figueroa
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Marcelo_Gustavo Figueroa: Birkbeck College, University of London

Finance from University Library of Munich, Germany

Abstract: 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.

Keywords: Energy derivatives; mean reversion; jump diffusion; electricity spot and forward. (search for similar items in EconPapers)
JEL-codes: G (search for similar items in EconPapers)
Pages: 28 pages
Date: 2005-01-21, Revised 2005-09-12
New Economics Papers: this item is included in nep-ene
Note: Type of Document - pdf; pages: 28
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Citations: View citations in EconPapers (212)

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Related works:
Journal Article: Pricing in Electricity Markets: A Mean Reverting Jump Diffusion Model with Seasonality (2005)
Working Paper: Pricing in Electricity Markets: a Mean Reverting Jump Diffusion Model with Seasonality (2005)
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Persistent link: https://EconPapers.repec.org/RePEc:wpa:wuwpfi:0501011

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