Describing the Nordic Forward Electric-Power Market: A Stochastic Model Approach

被引：0
|
作者：
Solibakke, P. B. [1 ]
机构：
[1] Molde Univ Coll, Norwegian Sch Logist, N-6405 Molde, Norway
来源：
INTERNATIONAL JOURNAL OF BUSINESS | 2006年 / 11卷 / 04期
关键词：
Stochastic differential equations; Efficient method of moments; Reprojection; Monte Carlo simulation;
D O I：
暂无
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
The paper calibrates stochastic differential equation (SDE) models for the mean and volatility of the Nordic forward electric power market. The main objective is to find appropriate descriptions of commodity markets emphasising schemes for derivative pricing purposes. Our estimation reveals that a two-factor stochastic specification is successful for moments matching. As for path dependent derivatives, simulation can be considered an appropriate numerical methodology for pricing purposes. Re-projections are used to evaluate model characteristics and extract the latent volatility process. Simulation based derivative pricing schemes are implemented.
引用
收藏
页码：345 / 366
页数：22
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