scholarly journals Regime-Switching Model on Hourly Electricity Spot Price Dynamics

2018 ◽  
Vol 08 (01) ◽  
pp. 102-110 ◽  
Author(s):  
Samuel Asante Gyamerah ◽  
Philip Ngare
Keyword(s):  
Regime Switching ◽  
Spot Price ◽  
Price Dynamics ◽  
Regime Switching Model ◽  
Switching Model ◽  
Electricity Spot Price

A DUPIRE EQUATION FOR A REGIME-SWITCHING MODEL

2015 ◽  
Vol 18 (04) ◽  
pp. 1550023 ◽  
Author(s):  
ROBERT J. ELLIOTT ◽  
LEUNGLUNG CHAN ◽  
TAK KUEN SIU
Keyword(s):  
Regime Switching ◽  
Price Dynamics ◽  
Local Volatility ◽  
Risky Assets ◽  
Regime Switching Model ◽  
Switching Model ◽  
Forward Equation ◽  
Local Volatility Model ◽  
Volatility Model ◽  
Forward Equations

A forward equation, which is also called the Dupire formula, is obtained for European call options when the price dynamics of the underlying risky assets are assumed to follow a regime-switching local volatility model. Using a regime-switching version of the adjoint formula, a system of coupled forward equations is derived for the price of the European call over different states of the economy.

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