Langrené, Nicolas; Campi, Luciano; Aïd, René - Université Paris-Dauphine (Paris IX) - 2013
We develop a structural risk-neutral model for energy market modifying along several directions the approach introduced in Aïd et al. In particular, a scarcity function is introduced to allow important deviations of the spot price from the marginal fuel price, producing price spikes. We focus...