Publications scientifiques
Martin Kegnenlezom* (Auteur correspondant)
Martin Le Doux Mbele Bidima
Yves Emvudu Wono
Mathematical sciences
Abstract In this paper, we derive a new jump-diffusion model for electricity spot price from the “Price-Cap” principle. Next, we show that the model has a non-classical mean-reverting linear drift. Moreover, using this model, we compute a new exact formula for the price of forward contract under an equivalent martingale measure and we compare it to Cartea et al. (Appl Math Finance 12(4):313–335, 2005) formula.
