Uncertain energy model for electricity and gas futures with application in spark-spread option price

被引：27
作者：
Mehrdoust, Farshid [1 ]
Noorani, Idin [1 ]
Xu, Wei [2 ]
机构：
[1] Univ Guilan, Fac Math Sci, Dept Appl Math, Rasht 419381914, Iran
[2] Ryerson Univ, Dept Math, 350 Victoria St, Toronto, ON, Canada
来源：
FUZZY OPTIMIZATION AND DECISION MAKING | 2023年 / 22卷 / 01期
关键词：
Energy markets; Futures; Uncertainty theory; Parameter estimation; Spark-spread option;
D O I：
10.1007/s10700-022-09386-z
中图分类号：
TP18 [人工智能理论];
学科分类号：
081104 ; 0812 ; 0835 ; 1405 ;
摘要：
In this paper, we propose an uncertain energy model with a time-varying volatility factor to describe the electricity and gas futures price dynamics. The corresponding spark-spread option pricing problem is also discussed. Numerical experiments show the effectiveness of proposed pricing method. Compared with the existing stochastic models, our uncertain energy model has a better performance to catch the price evolution of both gas and electricity futures.
引用
收藏
页码：123 / 148
页数：26
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