Uncertain energy model for electricity and gas futures with application in spark-spread option price

Farshid Mehrdoust (), Idin Noorani and Wei Xu
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Farshid Mehrdoust: University of Guilan
Idin Noorani: University of Guilan
Wei Xu: Ryerson University

Fuzzy Optimization and Decision Making, 2023, vol. 22, issue 1, No 6, 123-148

Abstract: Abstract In this paper, we propose an uncertain energy model with a time-varying volatility factor to describe the electricity and gas futures price dynamics. The corresponding spark-spread option pricing problem is also discussed. Numerical experiments show the effectiveness of proposed pricing method. Compared with the existing stochastic models, our uncertain energy model has a better performance to catch the price evolution of both gas and electricity futures.

Keywords: Energy markets; Futures; Uncertainty theory; Parameter estimation; Spark-spread option (search for similar items in EconPapers)
Date: 2023
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Citations: View citations in EconPapers (3)

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DOI: 10.1007/s10700-022-09386-z

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