A jump-diffusion model for pricing electricity under price-cap regulation

DOI10.1007/S40096-019-00308-6MaRDI QIDQ2179029zbMATH OpenOpenAlexWikidataFDO

Authors Martin Kegnenlezom, Patrice Takam Soh, Martin L. D. Mbele Bidima, Y. Emvudu Wono

Publication date 12 May 2020

Published in Mathematical Sciences (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://doi.org/10.1007/s40096-019-00308-6

zbMATH Keywords

modelelectricity marketprice-cap regulationspot priceforward price

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Economic models of real-world systems (e.g., electricity markets, etc.) (91B74) Applications of stochastic analysis (to PDEs, etc.) (60H30)

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Cites work

• scientific article; zbMATH DE number 5207903 (Why is no real title available?)
• A Course in Financial Calculus
• Asymptotic exponential arbitrage and utility-based asymptotic arbitrage in Markovian models of financial markets
• Electricity prices and power derivatives: evidence from the Nordic Power Exchange
• MULTI-FACTOR JUMP-DIFFUSION MODELS OF ELECTRICITY PRICES
• Pricing in Electricity Markets: A Mean Reverting Jump Diffusion Model with Seasonality

Cited in

(3)

• Pricing in Electricity Markets: A Mean Reverting Jump Diffusion Model with Seasonality
• A numerical algorithm for pricing electricity derivatives for jump-diffusion processes based on continuous time lattices
• Gaussian clustering and jump-diffusion models of electricity prices: a deep learning analysis

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