Oscillating Ornstein-Uhlenbeck processes and modelling of electricity prices

dc.contributor.author	Kobe, Daniel
dc.contributor.author	Woerner, Jeannette H.C.
dc.date.accessioned	2015-10-12T10:34:54Z
dc.date.available	2015-10-12T10:34:54Z
dc.date.issued	2015
dc.description.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.	en
dc.identifier.uri	http://hdl.handle.net/2003/34271
dc.identifier.uri	http://dx.doi.org/10.17877/DE290R-16348
dc.language.iso	en	de
dc.relation.ispartofseries	Discussion Paper / SFB 823;37/2015	en
dc.subject	electricity spot price data	en
dc.subject	continuous time moving average process	en
dc.subject	Ornstein-Uhlenbeck process	en
dc.subject	derivative pricing	en
dc.subject	seasonalities	en
dc.subject.ddc	310
dc.subject.ddc	330
dc.subject.ddc	620
dc.title	Oscillating Ornstein-Uhlenbeck processes and modelling of electricity prices	en
dc.type	Text	de
dc.type.publicationtype	workingPaper	de
dcterms.accessRights	open access
eldorado.dnb.deposit	true	de

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