Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/336720 
Authors: 
Year of Publication: 
2025
Citation: 
[Journal:] Asia-Pacific Financial Markets [ISSN:] 1573-6946 [Volume:] 33 [Issue:] 1 [Publisher:] Springer Japan [Place:] Tokyo [Year:] 2025 [Pages:] 315-346
Publisher: 
Springer Japan, Tokyo
Abstract: 
In this paper, we present an arithmetic electricity spot price model based on generalized Langevin equations. In this setup, we investigate electricity forward pricing under future information modeled by initially enlarged filtrations. Hence, our model not only accounts for memory effects via the involved retarded Langevin equations, but also incorporates forward-looking information on future price behavior via the appearing enlarged filtrations. We also treat the pricing of options written on anticipative electricity forwards. We finally derive the optimal mean variance hedging portfolio for an electricity market insider having knowledge of future price behavior.
Subjects: 
Electricity spot/forward price modeling
Option pricing
Mean variance hedging
Information premium
Stochastic differential equation
Generalized/retarded Langevin equation
Enlarged filtration
Future information
JEL: 
C02
D80
G11
G13
Persistent Identifier of the first edition: 
Creative Commons License: 
cc-by Logo
Document Type: 
Article
Document Version: 
Published Version

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