Modelling electricity futures prices using seasonal path-dependent volatility

Applied Energy

Volumn 173, Issue , 2016, Pages 92-102

  Fanelli, Viviana ^a   Maddalena, Lucia ^b   Musti, Silvana ^b  

^a UNIVERSITY OF BARI   (Italy)

^b UNIVERSITY OF FOGGIA   (Italy)

Author keywords

Electricity futures price; Forecast; Heath Jarrow Morton model; Option pricing; Seasonal path dependent volatility

Indexed keywords

COMMERCE; CONTRACTS; COSTS; DECISION MAKING; ECONOMICS; ELECTRIC INDUSTRY; FINANCIAL DATA PROCESSING; FORECASTING; LANDFORMS; POWER MARKETS; RISK MANAGEMENT; STOCHASTIC MODELS; STOCHASTIC SYSTEMS;

ELECTRICITY FUTURES; FUTURES CONTRACT; OPTION PRICING; PERIODIC BEHAVIOR; PORTFOLIO OPTIMIZATION; PRICE VARIABILITY; SEASONAL PATH-DEPENDENT VOLATILITY; STYLIZED FACTS;

FINANCIAL MARKETS;

DECISION MAKING; ELECTRICITY GENERATION; ENERGY EFFICIENCY; ENERGY MARKET; FUTURE PROSPECT; LIBERALIZATION; NUMERICAL MODEL; PRICE DYNAMICS; RISK ASSESSMENT;

GERMANY;

EID: 84962667699     PISSN: 03062619     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.apenergy.2016.04.003     Document Type: Article

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