Search
Now showing items 1-3 of 3
(Research report / Forskningsrapport, 2004)
We use the dynamic programming approach to derive an equation for the utility indifference price of Markovian claims in a stochastic volatility model proposed by Barndorff-Nielsen and Shephard (2001). The pricing equation ...
(Research report / Forskningsrapport, 2005)
We propose an mean-reverting model for the spot price dynamics of electricity which includes seasonality of the prices and spikes. The dynamics is a sum of non-Gaussian Ornstein-Uhlenbeck processes with jump processes ...
(Research report / Forskningsrapport, 2008)
Electricity is a commodity which is non-storable, and therefore difficult to move forward in time. Hence, forward looking information about market conditions is not necessarily incorporated in today's prices, and the typical ...