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A spot market model for pricing derivatives in electricity markets.
- Source :
-
Quantitative Finance . Feb2004, Vol. 4 Issue 1, p109-122. 14p. - Publication Year :
- 2004
-
Abstract
- In this paper, we analyse the evolution of prices in deregulated electricity markets. We present a general model that simultaneously takes into account the following features: seasonal patterns, price spikes, mean reversion, price dependent volatilities and long term non-stationarity. We estimate the parameters of the model using historical data from the European Energy Exchange. Finally, we demonstrate how it can be used for pricing derivatives via Monte Carlo simulation. [ABSTRACT FROM AUTHOR]
- Subjects :
- *PRICES
*ELECTRIC utilities
*MARKET volatility
*PRICING
*MONTE Carlo method
Subjects
Details
- Language :
- English
- ISSN :
- 14697688
- Volume :
- 4
- Issue :
- 1
- Database :
- Academic Search Index
- Journal :
- Quantitative Finance
- Publication Type :
- Academic Journal
- Accession number :
- 20537564
- Full Text :
- https://doi.org/10.1088/1469-7688/4/1/010