A jump-diffusion model for pricing electricity under price-cap regulation-Reference-Cited by-同舟云学术

A jump-diffusion model for pricing electricity under price-cap regulation

Published:2019-10-19 Issue:4 Volume:13 Page:395-405
ISSN:2008-1359
Container-title:Mathematical Sciences
language:en
Short-container-title:Math Sci

Author:

Kegnenlezom M.,Takam Soh P.,Mbele Bidima M. L. D.,Emvudu Wono Y.

Abstract

Abstract In this paper, we derive a new jump-diffusion model for electricity spot price from the “Price-Cap” principle. Next, we show that the model has a non-classical mean-reverting linear drift. Moreover, using this model, we compute a new exact formula for the price of forward contract under an equivalent martingale measure and we compare it to Cartea et al. (Appl Math Finance 12(4):313–335, 2005) formula.

Publisher

Springer Science and Business Media LLC

Subject

General Medicine

Link

http://link.springer.com/content/pdf/10.1007/s40096-019-00308-6.pdf

Reference30 articles.

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