文章基本信息

标题：Pricing in Electricity Markets: a mean reverting jump diffusion model with seasonality
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作者：Álvaro Cartea ; Marcelo G Figueroa
期刊名称：Birkbeck Working Papers in Economics and Finance / School of Economics, Mathematics and Statistics, Birkbeck College
印刷版ISSN：1745-8587
出版年度：2005
卷号：2005
出版社：London University
摘要：In this paper we present a mean-reverting jump diffusion model for the electricity spot price and derive the corresponding forward in closed-form. Based on historical spot data and forward data from England and Wales we calibrate the model and present months, quarters, and seasons–ahead forward surfaces
关键词：Energy derivatives, electricity, forward curve, forward surfaces