A spot market model for pricing derivatives in electricity markets

被引：136

作者：

Burger, M

Klar, B

Müller, A

Schindlmayr, G

机构：

[1] EnBW Gesellsch Stromhandel, Risk Controlling, D-76131 Karlsruhe, Germany

[2] Univ Karlsruhe, Inst Math Stochast, D-76128 Karlsruhe, Germany

[3] Univ Karlsruhe, Inst Wirtschaftstheorie & Operat Res, D-76128 Karlsruhe, Germany

来源：

QUANTITATIVE FINANCE | 2004年 / 4卷 / 01期

关键词：

D O I：

10.1088/1469-7688/4/1/010

中图分类号：

F8 [财政、金融];

学科分类号：

0202 [应用经济学];

摘要：

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.

引用

页码：109 / 122

页数：14

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[Anonymous], 1999, ENERGY MODELLING MAN

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A diffusion model for electricity prices [J].