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dc.contributor.authorMayer, Klausen_US
dc.contributor.authorSchmid, Thomasen_US
dc.contributor.authorWeber, Florianen_US
dc.date.accessioned2011-05-12en_US
dc.date.accessioned2011-07-18T08:59:26Z-
dc.date.available2011-07-18T08:59:26Z-
dc.date.issued2011en_US
dc.identifier.urihttp://hdl.handle.net/10419/48424-
dc.description.abstractStarting with the liberalization of electricity trading, this market grew rapidly over the 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 spot price process of electricity is still puzzling researchers and practitioners. In this paper, we propose an approach to model spot prices that combines mean-reversion, spikes and stochastic volatility. Thereby we use different mean-reversion rates for 'normal' and 'extreme' (spike) periods. Another feature of the model is its ability to capture correlation structures of electricity price spikes. Furthermore, all model parameters can easily be estimated with help of historical data. Consequently, we argue that this model does not only extend academic literature on electricity spot price modeling, but is also suitable for practical purposes, e.g. as underlying price model for option pricing.en_US
dc.language.isoengen_US
dc.publisherCenter for Entrepreneurial and Financial Studies (CEFS) Munichen_US
dc.relation.ispartofseriesCEFS working paper series 2011-02en_US
dc.subject.jelG17en_US
dc.subject.ddc330en_US
dc.subject.keywordElectricityen_US
dc.subject.keywordEnergy marketsen_US
dc.subject.keywordLévy processesen_US
dc.subject.keywordMean-reversionen_US
dc.subject.keywordSpikesen_US
dc.subject.keywordStochastic volatilityen_US
dc.subject.keywordGARCHen_US
dc.subject.stwStromhandelen_US
dc.subject.stwOptionsgeschäften_US
dc.subject.stwSpotmarkten_US
dc.subject.stwStromtarifen_US
dc.subject.stwVolatilitäten_US
dc.subject.stwStochastischer Prozessen_US
dc.subject.stwARCH-Modellen_US
dc.titleModeling electricity spot prices - Combining mean-reversion, spikes and stochastic volatilityen_US
dc.typeWorking Paperen_US
dc.identifier.ppn65790497Xen_US
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen_US
dc.identifier.repecRePEc:zbw:cefswp:201102-
Appears in Collections:CEFS Working Paper Series, Center for Entrepreneurial and Financial Studies, Technische Universität München

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