In:
Advances in Applied Probability, Cambridge University Press (CUP), Vol. 46, No. 03 ( 2014-09), p. 719-745
Abstract:
In this paper we propose a new modelling framework for electricity futures markets based on so-called ambit fields . The new model can capture many of the stylised facts observed in electricity futures and is highly analytically tractable. We discuss martingale conditions, option pricing, and change of measure within the new model class. Also, we study the corresponding model for the spot price, which is implied by the new futures model, and show that, under certain regularity conditions, the implied spot price can be represented in law as a volatility modulated Volterra process.
Type of Medium:
Online Resource
ISSN:
0001-8678
,
1475-6064
DOI:
10.1017/S0001867800007345
Language:
English
Publisher:
Cambridge University Press (CUP)
Publication Date:
2014
detail.hit.zdb_id:
1474602-5
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