Title:

Pricing forward contracts on the Polish Power Exchange

Subtitle:

Raport Badawczy = Research Report ; RB/1/2015

Creator:

Nowak, Piotr (matematyka) ; Pawłowski, Michał

Publisher:

Instytut Badań Systemowych. Polska Akademia Nauk ; Systems Research Institute. Polish Academy of Sciences

Place of publishing:

Warszawa

Date issued/created:

2015

Description:

25 pages ; 21 cm ; Bibliography p. 23-25

Subject and Keywords:

Option price

Abstract:

The paper presents a model of the Polish Power Exchange (POLPX) energy spot prices. The proposed dynamics of the spot prices is driven by a mean-reverting jump-diffusion stochastic process with mixed-exponentially distributed jumps.

Relation:

Raport Badawczy = Research Report

Resource type:

Text

Detailed Resource Type:

Report

Source:

RB-2015-01

Language:

eng

Language of abstract:

eng

Rights:

Creative Commons Attribution BY 4.0 license

Terms of use:

Copyright-protected material. [CC BY 4.0] May be used within the scope specified in Creative Commons Attribution BY 4.0 license, full text available at: ; -

Digitizing institution:

Systems Research Institute of the Polish Academy of Sciences

Original in:

Library of Systems Research Institute PAS

Projects co-financed by:

Operational Program Digital Poland, 2014-2020, Measure 2.3: Digital accessibility and usefulness of public sector information; funds from the European Regional Development Fund and national co-financing from the state budget.

Access:

Open