Hambly, Ben; Howison, Sam; Kluge, Tino - In: Quantitative Finance 9 (2009) 8, pp. 937-949
Most electricity markets exhibit high volatilities and occasional distinctive price spikes, which result in demand for derivative products which protect the holder against high prices. In this paper we examine a simple spot price model that is the exponential of the sum of an Ornstein-Uhlenbeck...