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A Non-Gaussian Ornstein-Uhlenbeck Process for Electricity Spot Price Modeling and Derivatives Pricing

Benth, Fred Espen; Kallsen, Jan; Meyer-Brandis, Thilo - In: Applied Mathematical Finance 14 (2007) 2, pp. 153-169

A mean-reverting model is proposed for the spot price dynamics of electricity which includes seasonality of the prices and spikes. The dynamics is a sum of non-Gaussian Ornstein-Uhlenbeck processes with jump processes giving the normal variations and spike behaviour of the prices. The amplitude...

Persistent link: https://www.econbiz.de/10005495417

A non-Gaussian-Ornstein-Uhlenbeck process for electricity spot price modeling and derivatives pricing

Benth, Fred Espen; Kallsen, Jan; Meyer-Brandis, Thilo - In: Applied mathematical finance 14 (2007) 2, pp. 153-169

Persistent link: https://www.econbiz.de/10003542981

The density process of the minimal entropy martingale measure in a stochastic volatility model with jumps

Benth, Fred Espen; Meyer-Brandis, Thilo - In: Finance and stochastics 9 (2005) 4, pp. 563-575

Persistent link: https://www.econbiz.de/10003133280

The density process of the minimal entropy martingale measure in a stochastic volatility model with jumps

Benth, Fred Espen; Meyer-Brandis, Thilo - In: Finance and stochastics 9 (2005) 4, pp. 563-576

Persistent link: https://www.econbiz.de/10008214149

A Non-Gaussian Ornstein-Uhlenbeck Process for Electricity Spot Price Modeling and Derivatives Pricing

Benth, Fred Espen; Kallsen, Jan; Meyer-Brandis, Thilo - In: Applied mathematical finance 14 (2007) 2, pp. 153-170

Persistent link: https://www.econbiz.de/10008221848