http://www.erasmusenergy.com en-us N/A dejong@kyos.com Tue, 06 Jan 2009 07:45:56 CET 20 http://www.erasmusenergy.com/articles/85/1/Pricing-Electricity-Forwards-under-Stochastic-Volatility/Page1.html Published in:
Publication year: 2001

Based on the peculiarities of electricity as underlying commodity of forward contracts we develop a time-continuous pricing model for short-term electricity forwards. The suggested stochastic volatility model utilizes the non-tradeable spot prices of electricity and its variance rate as state variables. This enables us to capture the non-linearities, and the high and time varying volatility seen in electricity prices. Using maximum likelihood estimation based on Kalman filtering we report empirical results on electricity data from the Californian market.]]> no@spam.com (Philipp Kellerhals) Mon, 22 Oct 2007 13:15:40 CEST http://www.erasmusenergy.com/articles/85/1/Pricing-Electricity-Forwards-under-Stochastic-Volatility/Page1.html