Title :
Some non-Gaussian models for electricity spot prices
Author :
Collet, Jérôme ; Duwig, Véronique ; Oudjane, Nadia
Author_Institution :
EDF/R&D/OSIRIS, Clamart
Abstract :
Electricity spot prices are characterized by important spikes, which cannot be taken into account by Gaussian models. These spikes are essential in risk analysis, especially when we are interested in valuating out of the money options. The aim of this paper is to study and compare two time continuous non-Gaussian models for electricity spot prices specially devoted to pricing applications
Keywords :
power markets; pricing; risk analysis; electricity spot prices; nonGaussian model; risk analysis; spikes; Cost accounting; Data analysis; Gaussian noise; Gaussian processes; Parameter estimation; Power system modeling; Pricing; Research and development; Risk analysis; Stochastic processes;
Conference_Titel :
Probabilistic Methods Applied to Power Systems, 2006. PMAPS 2006. International Conference on
Conference_Location :
Stockholm
Print_ISBN :
978-91-7178-585-5
DOI :
10.1109/PMAPS.2006.360293
