MULTI-FACTOR JUMP-DIFFUSION MODELS OF ELECTRICITY PRICES
نویسندگان
چکیده
منابع مشابه
Multi-factor jump-diffusion models of electricity prices
The recent deregulation of electricity markets has led to the creation of energy exchanges, where the electricity is freely traded. In this paper, we study the most salient statistical features of electricity prices with a particular attention to the European energy exchanges. These features can be adequately reproduced by the sum-OU model: a model representing the price as a sum of Lévy-driven...
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The deregulation of electricity markets has led to higher uncertainty in electricity prices. Electricity, as a commodity, differs from other commodities and financial assets as it is not storable. Among the consequences of this non-storability restriction, the most conspicuous one is the presence of large spikes in electricity prices. Another outcome of the non-storability of electricity is tha...
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ژورنال
عنوان ژورنال: International Journal of Theoretical and Applied Finance
سال: 2008
ISSN: 0219-0249,1793-6322
DOI: 10.1142/s0219024908004907