Modelling spikes and pricing swing options in electricity markets

@inproceedings{HamblyModellingSA,
  title={Modelling spikes and pricing swing options in electricity markets},
  author={Ben Hambly and Sam D. Howison and T. Kluge}
}
Most electricity markets exhibit high volatilities and occasional distinctive price spikes, which result in demand for derivative products which protect the holder against high prices. In this paper we examine a simple spot price model that is the exponential of the sum of an Ornstein-Uhlenbeck and an independent mean reverting pure jump process. We derive the moment generating function as well as various approximations to the probability density function of the logarithm of the spot price… CONTINUE READING
17 Citations
15 References
Similar Papers

Citations

Publications citing this paper.
Showing 1-10 of 17 extracted citations

References

Publications referenced by this paper.
Showing 1-10 of 15 references

Valuation by simulation of contingent claims with multiple early exercise opportunities

  • P. Jaillet, E. Ronn, S. Tompadis
  • Mathematical Finance
  • 2004
Highly Influential
3 Excerpts

The pricing of commodity contracts

  • F. Black
  • Journal of Financial Economics
  • 1976
Highly Influential
2 Excerpts

Pricing in electricity markets: a mean reverting jump diffusion model with seasonality

  • Cartea, Figueroa, A. 2005 Cartea, M. Figueroa
  • Applied Mathematical Finance,
  • 2005

Financial Modelling with Jump Processes

  • Cont, Tankov, R. 2004 Cont, P. Tankov
  • 2004

Continuous swing options

  • Howison, Rasmussen, S. 2002 Howison, H. Rasmussen
  • 2002

Similar Papers

Loading similar papers…