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Bayesian calibration and number of jump components in electricity spot price models
Gonzalez, Jhonny; Moriarty, John; Palczewski, Jan - In: Energy economics 65 (2017), pp. 375-388
Persistent link: https://www.econbiz.de/10011803998
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The market price of risk for delivery periods : pricing swaps and options in electricity markets
Kemper, Annika; Schmeck, Maren D.; Balci, Anna KH. - 2020
, seasonalities, and stochastic volatility. In particular, we investigate the pricing procedures for electricity swaps and options in …
Persistent link: https://www.econbiz.de/10012216375
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Pricing of electricity swaps with geometric averaging
Kemper, Annika; Schmeck, Maren Diane - 2023
In this paper, we provide empirical evidence on the market price of risk for delivery periods (MPDP) of electricity swap contracts. As introduced by Kemper et al. (2022), the MPDP arises through the use of geometric averaging while pricing electricity swaps in a geometric framework. In...
Persistent link: https://www.econbiz.de/10014277000
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Econometric modeling of regional electricity spot prices in the Australian market
Smith, Michael S.; Shively, Thomas S. - In: Energy economics 74 (2018), pp. 886-903
Persistent link: https://www.econbiz.de/10011972998
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Modeling electricity spot prices : combining mean reversion, spikes, and stochastic volatility
Mayer, Klaus; Schmid, Thomas; Weber, Florian - In: The European journal of finance 21 (2015) 4/6, pp. 292-315
Persistent link: https://www.econbiz.de/10010528197
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A critical empirical study of three electricity spot price models
Benth, Fred Espen; Kiesel, Rüdiger; Nazarova, Anna - In: Energy economics 34 (2012) 5, pp. 1589-1616
Persistent link: https://www.econbiz.de/10009687984
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Electricity price modelling with stochastic volatility and jumps : an empirical investigation
Gudkov, Nikolay; Ignatieva, Ekaterina - In: Energy economics 98 (2021), pp. 1-26
Persistent link: https://www.econbiz.de/10012873255
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A space-time random field model for electricity forward prices
Benth, Fred Espen; Paraschiv, Florentina - In: Journal of banking & finance 95 (2018), pp. 203-216
Persistent link: https://www.econbiz.de/10011966749
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The effect of mean-reverting processes in the pricing of options in the energy market : an arithmetic approach
Schmeck, Maren Diane; Schwerin, Stefan - In: Risks : open access journal 9 (2021) 5, pp. 1-19
In this paper we study the effect that mean-reverting components in the arithmetic dynamics of electricity spot price have on the price of a call option on a swap. Our model allows for seasonal effects, spikes, and negative values of the price of electricity. We show that for sufficiently large...
Persistent link: https://www.econbiz.de/10012597100
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Bayesian Estimation of the Multi-Factor Heston Stochastic Volatility Model
Fruhwirth-Schnatter, Sylvia; Sögner, Leopold - 2014
The goal of this article is an exact Bayesian analysis of the Heston (1993) stochastic volatility model. We carefully … study the effect different parameterizations of the latent volatility process and the parameters of the volatility process …
Persistent link: https://www.econbiz.de/10014221761