The Nature of Power Spikes: A Regime-Switch Approach

DOI10.2202/1558-3708.1361zbMath1260.91173OpenAlexW3121977335MaRDI QIDQ5452743

Cyriel de Jong

Publication date: 4 April 2008

Published in: Studies in Nonlinear Dynamics & Econometrics (Search for Journal in Brave)

Full work available at URL: https://repub.eur.nl/pub/6988/ERS%202005%20052%20F&A.pdf

Mathematics Subject Classification ID

Economic models of real-world systems (e.g., electricity markets, etc.) (91B74)

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The viscosity solutions approach to swing options pricing under a regime-switching mean-reverting model ⋮ Goodness-of-fit testing for the marginal distribution of regime-switching models with an application to electricity spot prices ⋮ Efficient estimation of Markov regime-switching models: an application to electricity spot prices ⋮ An options pricing approach to ramping rate restrictions at hydro power plants ⋮ Pricing and risk of swing contracts in natural gas markets ⋮ A discrete model for optimal operation of fossil-fuel generators of electricity ⋮ A new lattice-based scheme for swing option pricing under mean-reverting regime-switching jump-diffusion processes ⋮ A nonparametric model for spot price dynamics and pricing of futures contracts in electricity markets ⋮ Hedging Electricity Portfolio for a Hydro-energy Producer via Stochastic Programming ⋮ Pricing electricity derivatives within a Markov regime-switching model: a risk premium approach ⋮ Valuation of swing options under a regime-switching mean-reverting model ⋮ Heavy-tails and regime-switching in electricity prices

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