We extend the arithmetic multi-factor electricity spot price model proposed by Benth et al. (Appl Math Finance 14(2):153–169, 2007) by adding stochastic mean-level processes to their model and by taking additional information on the future behavior of these mean-level processes into account. The available anticipative information is modeled by an initially enlarged filtration in our paper. We further derive pricing formulas for electricity forwards under future information and investigate the associated information premium.

中文翻译：

---

根据随机均值回复水平的未来信息对电价进行定价

我们扩展了Benth等人提出的算术多因素电价模型。（Appl Finance Finance 14（2）：153-169，2007），方法是在模型中添加随机均值过程，并考虑这些均值过程的未来行为的其他信息。可用的预期信息通过本文中最初扩大的过滤来建模。我们进一步根据未来信息推导了电力远期的定价公式，并研究了相关的信息溢价。