Some commodity prices, like oil and gas, exhibit the mean reversion, unlike stock price. It means that they tend over time to return to some long-term mean.In this paper we consider a risky asset S_t following the mean-reverting stochastic process. The aim of this paper is to obtain an explicit...

Starting with the liberalization of electricity trading, this market grew rapidly overthe last decade. However, while spot and future markets are rather liquid nowadays,option trading is still limited. One of the potential reasons for this is that the spotprice process of electricity is still...

In electricity markets globally, market participants and policymakers increasingly focus on integrating adjacent, yet separate market areas via cross-border trade in electricity. Based on a discussion of the institutional framework for organizing cross-border trade, this paper analyzes how spot...