Engineering

Volatility (finance)

Statistics

SPARK (programming language)

Futures contract

Energy (signal processing)

Economics

Computer science

Mathematical optimization

Electricity price

Mathematics

Econometrics

Financial economics

Programming language

Valuation of options

Electricity

Electrical engineering

Fuzzy Optimization and Decision Making

In this paper, we propose an uncertain energy model with a time-varying volatility factor to describe the electricity and gas futures price dynamics. The corresponding spark-spread option pricing problem is also discussed. Numerical experiments show the effectiveness of proposed pricing method. Compared with the existing stochastic models, our uncertain energy model has a better performance to catch the price evolution of both gas and electricity futures.

Uncertain energy model for electricity and gas futures with application in spark-spread option price