A spot market model for pricing derivatives in electricity markets
نویسندگان
چکیده
In this article, we analyze 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, it is demonstrated how it can be used for pricing derivatives via Monte Carlo simulation. Submitted to: Journal of Quantitative Finance
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تاریخ انتشار 2003