Stochastic Models of Energy Commodity Prices and Their Applications: Mean-reversion with Jumps and Spikes
نویسنده
چکیده
In this paper, we present several mean-reversion jump di usion models to describe energy commodity spot prices. We incorporate multiple jumps, regime-switching and stochastic volatility in these models. Prices of various energy commodity derivatives are obtained under each model. We show how the electricity derivatives can be used to evaluate generation and transmission capacity. We also show for our price models, how to determine the value of investment opportunities and the threshold value above which a rm should invest.
منابع مشابه
PWP-073 Stochastic Models of Energy Commodity Prices and Their Applications: Mean-reversion with Jumps and Spikes
I propose several mean-reversion jump-di usion models to describe spot prices of energy commodities that may be very costly to store. I incorporate multiple jumps, regime-switching and stochastic volatility into these models in order to capture the salient features of energy commodity prices due to physical characteristics of energy commodities. Prices of various energy commodity derivatives ar...
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