Oscillating Ornstein-Uhlenbeck processes and modelling of electricity prices
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Date
2015-09-22
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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.
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Keywords
electricity spot price data, continuous time moving average process, Ornstein-Uhlenbeck process, derivative pricing, seasonalities