A DIFFUSION MODEL FOR ELECTRICITY PRICES

M. T. Barlow

Mathematical Finance, 2002, vol. 12, issue 4, 287-298

Abstract: Starting from a simple supply/demand model for electricity, we obtain a diffusion (i.e., jumpless) model for spot prices which can exhibit price spikes. We estimate the parameters in the model using historical data from the Alberta and California markets. and compare this model with some others used for spot prices.

Date: 2002
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