Woerner, Jeannette H.C.
|Title:||Oscillating Ornstein-Uhlenbeck processes and modelling of electricity prices|
|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
|Appears in Collections:||Sonderforschungsbereich (SFB) 823|
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|DP_3715_SFB823_Kobe_Woerner.pdf||DNB||831.76 kB||Adobe PDF||View/Open|
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