A jump-diffusion model for pricing electricity under price-cap regulation

被引：0
|
作者：
M. Kegnenlezom
P. Takam Soh
M. L. D. Mbele Bidima
Y. Emvudu Wono
机构：
[1] University of Yaounde 1,
来源：
Mathematical Sciences | 2019年 / 13卷
关键词：
Model; Electricity market; Price-cap regulation; Spot price; Forward price;
D O I：
暂无
中图分类号：
学科分类号：
摘要：
In this paper, we derive a new jump-diffusion model for electricity spot price from the “Price-Cap” principle. Next, we show that the model has a non-classical mean-reverting linear drift. Moreover, using this model, we compute a new exact formula for the price of forward contract under an equivalent martingale measure and we compare it to Cartea et al. (Appl Math Finance 12(4):313–335, 2005) formula.
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页码：395 / 405
页数：10
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