کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
5063584 1476697 2017 24 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Modeling positive electricity prices with arithmetic jump-diffusions
ترجمه فارسی عنوان
مدل سازی قیمت های مثبت برق با انتشار اختلافی جبرانی
موضوعات مرتبط
مهندسی و علوم پایه مهندسی انرژی انرژی (عمومی)
چکیده انگلیسی
We propose a mean-reverting electricity spot price model of arithmetic jump-diffusion type yielding positive prices. Based on this approach, we derive the corresponding forward and futures price representations. We further discuss different choices for the stochastic mean level process and investigate the long-term behavior of the spot price. In the second part, we take future information available to the traders into account. The latter is modeled by initially enlarged filtrations with respect to (a) the mean level of the spot, (b) the driving diffusion component and (c) the jump term. We also derive forward and futures price representations under these enlarged filtrations. Finally, we consider the evaluation of options in the proposed models.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Energy Economics - Volume 67, September 2017, Pages 496-507
نویسندگان
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