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摘要翻译：
本文计算了电导数的解析公式。为此，我们假设电力现货价格服从一个具有独立的涨落和周期转移矩阵的三体制马尔可夫体制切换模型。由于经典的衍生品定价方法不能用于不可储存商品的定价，因此我们引入了风险溢价的概念。所得理论结果随后用于欧洲能源交易所(EEX)市场数据。将该模型与现货电价进行了标定。接下来，风险溢价被导出并用于计算即期欧式期权的价格，以及远期价格。
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英文标题：
《Pricing electricity derivatives within a Markov regime-switching model》
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作者：
Joanna Janczura
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最新提交年份：
2012
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分类信息：
一级分类：Quantitative Finance 数量金融学
二级分类：Pricing of Securities 证券定价
分类描述：Valuation and hedging of financial securities, their derivatives, and structured products
金融证券及其衍生产品和结构化产品的估值和套期保值
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英文摘要：
In this paper analytic formulas for electricity derivatives are calculated. To this end, we assume that electricity spot prices follow a 3-regime Markov regime-switching model with independent spikes and drops and periodic transition matrix. Since the classical derivatives pricing methodology cannot be used in case of non-storable commodities, we employ the concept of the risk premium. The obtained theoretical results are then used for the European Energy Exchange (EEX) market data. The 3-regime model is calibrated to the spot electricity prices. Next, the risk premium is derived and used to calculate prices of European options written on spot, as well as, forward prices.
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PDF链接：
https://arxiv.org/pdf/1203.5442
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