Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/48424 
Kompletter Metadatensatz
DublinCore-FeldWertSprache
dc.contributor.authorMayer, Klausen
dc.contributor.authorSchmid, Thomasen
dc.contributor.authorWeber, Florianen
dc.date.accessioned2011-05-12-
dc.date.accessioned2011-07-18T08:59:26Z-
dc.date.available2011-07-18T08:59:26Z-
dc.date.issued2011-
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
dc.language.isoengen
dc.publisher|aTechnische Universität München, Center for Entrepreneurial and Financial Studies (CEFS) |cMünchenen
dc.relation.ispartofseries|aWorking Paper |x2011-02en
dc.subject.jelG17en
dc.subject.ddc330en
dc.subject.keywordElectricityen
dc.subject.keywordEnergy marketsen
dc.subject.keywordLévy processesen
dc.subject.keywordMean-reversionen
dc.subject.keywordSpikesen
dc.subject.keywordStochastic volatilityen
dc.subject.keywordGARCHen
dc.subject.stwStromhandelen
dc.subject.stwOptionsgeschäften
dc.subject.stwSpotmarkten
dc.subject.stwStromtarifen
dc.subject.stwVolatilitäten
dc.subject.stwStochastischer Prozessen
dc.subject.stwARCH-Modellen
dc.titleModeling electricity spot prices - Combining mean-reversion, spikes and stochastic volatility-
dc.typeWorking Paperen
dc.identifier.ppn65790497Xen
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen
dc.identifier.repecRePEc:zbw:cefswp:201102en

Datei(en):
Datei
Größe
1.13 MB





Publikationen in EconStor sind urheberrechtlich geschützt.