The stochastic behavior of electricity prices under scrutiny: Evidence from spot and futures markets
提出一个随机波动跳跃扩散模型来定价电力衍生品，该模型能捕捉现货市场的均值回归、长期预期变化、季节性、极端波动和时变跳跃强度，并用澳大利亚市场数据验证了模型对现货和期货价格的拟合效果。
This article proposes a stochastic volatility jump–diffusion model for pricing electricity derivative contracts. The main objective is to develop a model that effectively captures the characteristics and stylized facts of the electricity spot market, such as mean reversion , changing expectations in the spot price’s long-run level, seasonality , extreme volatility, price spikes, and time-varying jump intensity. We employ a particle filter that relies on both spot prices and futures data to estimate model parameters. The results demonstrate that incorporating the aforementioned features is crucial for accurately fitting both spot and futures prices, as evidenced by data from the Australian electricity market.