dc.date.accessioned | 2013-03-12T08:20:29Z | |
dc.date.available | 2013-03-12T08:20:29Z | |
dc.date.issued | 2003 | en_US |
dc.date.submitted | 2009-12-17 | en_US |
dc.identifier.uri | http://hdl.handle.net/10852/10655 | |
dc.description.abstract | We model spot prices in energy markets with exponential non-Gaussian Ornstein-Uhlenbeck processes. We generalize the classical geometric Brownian motion and Schwartz' mean-reversion model by introducing Lévy processes as the driving noise rather than Brownian motion. Instead of modelling the spot price dynamics as the solution of a stochastic differential equation with jumps, it is advantageous to model the price process directly from a statistical point of view. Imposing the normal inverse Gaussian distribution as the statistical model for the Lévy increments, we obtain a superior fit compared to the Gaussian model when applied to spot price data from the oil and gas markets. We also discuss the problem of pricing forwards and options and outline how to find the market price of risk in an incomplete market. | eng |
dc.language.iso | eng | en_US |
dc.publisher | Matematisk Institutt, Universitetet i Oslo | |
dc.relation.ispartof | Preprint series. Pure mathematics http://urn.nb.no/URN:NBN:no-8076 | en_US |
dc.relation.uri | http://urn.nb.no/URN:NBN:no-8076 | |
dc.rights | © The Author(s) (2003). This material is protected by copyright law. Without explicit authorisation, reproduction is only allowed in so far as it is permitted by law or by agreement with a collecting society. | |
dc.title | THE NORMAL INVERSE GAUSSIAN DISTRIBUTION AND SPOT PRICE MODELLING IN ENERGY MARKETS | en_US |
dc.type | Research report | en_US |
dc.date.updated | 2009-12-17 | en_US |
dc.rights.holder | Copyright 2003 The Author(s) | |
dc.creator.author | Benth, Fred Espen | en_US |
dc.creator.author | Saltyte-Benth, Jurate | en_US |
dc.subject.nsi | VDP::410 | en_US |
dc.identifier.urn | URN:NBN:no-23770 | en_US |
dc.type.document | Forskningsrapport | en_US |
dc.identifier.duo | 97977 | en_US |
dc.identifier.fulltext | Fulltext https://www.duo.uio.no/bitstream/handle/10852/10655/1/pm26-03.pdf | |