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Analytical Valuation of a Full Requirements Contract in Terms of Power Spot Prices Following a Geometric Mean-Reverting Process and Load Following a Mean-Reverting Process

Elsevier B.V.
Publication Date
  • Applied Mathematics
  • Modelling And Simulation
  • Probability Theory And Stochastic Processes
  • Applied_Mathematics/0202018
  • Mathematics


We present a model that allows for a relatively simple analytical valuation of a full requirements contract in terms of power spot prices and load in the case when power spot prices follow a geometric mean-reverting process and load follows a mean-reverting process. This model represents a practically important special case of our earlier model for an analytical valuation of a full requirements contract when the load is modeled directly.

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