Modelling electricity futures prices using seasonal path-dependent volatility

Viviana Fanelli,Lucia Maddalena,Silvana Musti

Applied Energy（2016）

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摘要

•A no-arbitrage term structure model is applied to the electricity market.•Volatility parameters of the HJM model are estimated by using German data.•The model captures the seasonal price behaviour.•Electricity futures prices are forecasted.•Call options are evaluated according to different strike prices.

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关键词

Electricity futures price,Forecast,Seasonal path-dependent volatility,Heath–Jarrow–Morton model,Option pricing

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