| Popis: |
In liberalized electricity markets prices exhibit features, such as price spikes, rarely seen in other commodity markets. Models for electricity spot price, such as mean-reverting jump-diffusions and regime-switching models are only partially successful in modelling price spikes. In this paper we introduce a new approach to electricity price modelling: a potential function jump-diffusion model, which allows for a continuously varying mean-reversion rate and provides a flexible way to model price spikes. |
