Authors: Kobe, Daniel
Woerner, Jeannette H.C.
Title: Oscillating Ornstein-Uhlenbeck processes and modelling of electricity prices
Language (ISO): en
Abstract: In this paper we propose an alternative model for electricity spot prices based on oscillating Ornstein-Uhlenbeck processes. This model captures the characteristics of empirical data, especially the oscillating shape of the autocorrelation function. Furthermore, we show that our model leads to explicit formulas for forwards and options on forwards.
Subject Headings: electricity spot price data
continuous time moving average process
Ornstein-Uhlenbeck process
derivative pricing
seasonalities
URI: http://hdl.handle.net/2003/34269
http://dx.doi.org/10.17877/DE290R-16346
Issue Date: 2015-09-22
Appears in Collections:Preprints der Fakultät für Mathematik

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