A DIFFUSION MODEL FOR ELECTRICITY PRICES

Mathematical Finance - Tập 12 Số 4 - Trang 287-298 - 2002
Takashi Kumagai1
1Department of Mathematics, University of British Columbia

Tóm tắt

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.

Từ khóa


Tài liệu tham khảo

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Thông tin
Thông tin xuất bản

Mathematical Finance

Tập 12 Số 4

287-298

Thông tin tác giả