Models for Pricing of Electricity Commodity

Abstract

In this paper a survey is carry out on models for pricing electricity from market data using the Ornstein – Uhlenbeck process and other time series models like Garch and Arima to calibrate model. We also consider models for the demand and supply of electricity and the associated spike and Equilibrium price for electricity. Simulation experiments are also designed for models studied.

Key words: Models, electricity pricing, simulation and volatility.