In this work we analyse a stochastic control problem for the valuation of a natural gas power station while taking into account operating characteristics. Both electricity and gas spot price processes exhibit mean-reverting spikes and Markov regime-switches. The Levy regime-switching model incorporates the effects of demand-supply fluctuations in energy markets and abrupt economic disruptions or business cycles. We make use of skewed Levy copulas to model the dependence risk of electricity and gas jumps.
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