Modelling jumps in electricity prices: theory and empirical evidence

DOI10.1007/S11147-007-9011-9zbMath1151.91680OpenAlexW3124605301MaRDI QIDQ941721

Jan Seifert, Marliese Uhrig-Homburg

Publication date: 2 September 2008

Published in: Review of Derivatives Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11147-007-9011-9

zbMATH Keywords

Derivatives pricingElectricity pricesJump diffusionModel risk

Mathematics Subject Classification ID

Stochastic models in economics (91B70) Economic models of real-world systems (e.g., electricity markets, etc.) (91B74)

Related Items (6)

Optimal Cross-Border Electricity Trading ⋮ Electricity derivatives pricing with forward-looking information ⋮ Pairs trading with a mean-reverting jump–diffusion model on high-frequency data ⋮ FFT based option pricing under a mean reverting process with stochastic volatility and jumps ⋮ Efficient pricing of discrete arithmetic Asian options under mean reversion and jumps based on Fourier-cosine expansions ⋮ COMMODITY PRICE DYNAMICS AND DERIVATIVE VALUATION: A REVIEW

Cites Work

• Electricity prices and power derivatives: evidence from the Nordic Power Exchange
• Pricing in Electricity Markets: A Mean Reverting Jump Diffusion Model with Seasonality

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