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

Álvaro Cartea () and Marcelo Figueroa

Applied Mathematical Finance, 2005, vol. 12, issue 4, 313-335

Abstract: This paper presents a mean-reverting jump diffusion model for the electricity spot price and derives the corresponding forward price in closed-form. Based on historical spot data and forward data from England and Wales the model is calibrated and months, quarters, and seasons-ahead forward surfaces are presented.

Keywords: Energy derivatives; electricity; forward curve; forward surfaces (search for similar items in EconPapers)
Date: 2005
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Citations: View citations in EconPapers (209)

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Working Paper: Pricing in Electricity Markets: a Mean Reverting Jump Diffusion Model with Seasonality (2005)
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DOI: 10.1080/13504860500117503

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