A diffusion model for electricity prices

被引：149

作者：

Barlow, MT ^{[1
]}

机构：

[1] Univ British Columbia, Dept Math, Vancouver, BC V6T 1Z2, Canada

来源：

MATHEMATICAL FINANCE | 2002年 / 12卷 / 04期

关键词：

electricity prices; diffusion; mean-reverting;

D O I：

10.1111/j.1467-9965.2002.tb00125.x

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

Starting from a simple supply/demand model for electricity, we obtain a diffusion (i e, jumpless) model for spot prices which can exhibit price spikes We estimate the parameters in the model using historical data from the Alberta and California markets, and compare this model with some others used for spot prices.

引用

页码：287 / 298

页数：12

共 10 条

[1] AN ANALYSIS OF TRANSFORMATIONS [J].

BOX, GEP ;

COX, DR .

JOURNAL OF THE ROYAL STATISTICAL SOCIETY SERIES B-STATISTICAL METHODOLOGY, 1964, 26 (02) :211-252

[2]

CHEN G, 2002, IN PRESS CANAD J STA, P30

[3]

CLEWLOW L, 1999, PRACTICAL MODEL ENER

[4]

Dornier F, 2000, Energy Power Risk Management, V13, P30

[5]

ELLIOTT RJ, 2000, PRICING ELECT CALLS

[6]

Eydeland A., 1999, ENERGY MODELLING MAN

[7]

Follmer H., 1993, MATH FINANC, V3, P1, DOI DOI 10.1111/J.1467-9965.1993.TB00035.X

[8]

Lucia J. J., 2002, REV DERIV RES, V5, P5, DOI DOI 10.1023/A:1013846631785

[9]

Pilipovic D., 1997, ENERGY RISK

[10]

Schwartz ES, 1997, J FINANC, V52, P923, DOI 10.2307/2329512

← 1 →