Oscillating Ornstein-Uhlenbeck processes and modelling of electricity prices

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dc.contributor.authorKobe, Daniel
dc.contributor.authorWoerner, Jeannette H.C.
dc.date.accessioned2015-10-12T10:31:17Z
dc.date.available2015-10-12T10:31:17Z
dc.date.issued2015-09-22
dc.description.abstractIn 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.urihttp://hdl.handle.net/2003/34269
dc.identifier.urihttp://dx.doi.org/10.17877/DE290R-16346
dc.language.isoen
dc.subjectelectricity spot price dataen
dc.subjectcontinuous time moving average processen
dc.subjectOrnstein-Uhlenbeck processen
dc.subjectderivative pricingen
dc.subjectseasonalitiesen
dc.subject.ddc610
dc.titleOscillating Ornstein-Uhlenbeck processes and modelling of electricity pricesen
dc.typeTextde
dc.type.publicationtypepreprinten
dcterms.accessRightsopen access

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