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We propose a class of stochastic mean-reverting models for electricity prices with Levy process-driven Ornstein–Uhlenbeck (OU) processes being the building blocks. We first fit marginal distributions of power price series to two special classes of distributions defined by quantile functions (termed Class I and Class II distributions). A theoretical correlation structure is then used to fit the empirical...
We present and apply a methodology for valuing electricity derivatives by constructing replicating portfolios from electricity futures and the risk-free asset. Futures-based replication is made necessary by the non-storable nature of electricity, which rules out the traditional spot market, storage-based method of valuing commodity derivatives. Using the futures-based approach, valuation formulae...
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