In this paper we study the effect that mean-reverting components in the arithmetic dynamics of electricity spot price have on the price of a call option on a swap. Our model allows for seasonal effects, spikes, and negative values of the price of electricity. We show that for sufficiently large delivery periods of the swap contract, the error that one makes by neglecting some of the mean-reverting processes affecting the spot price evolution converges to zero. The decay rate is explicitly calculated. This is achieved by exploiting the additive structure of the electricity price process in order to determine an explicit closed-form formula for the price of the call on a swap. The theoretical analysis is then illustrated via a numerical example.

中文翻译：

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均值回归过程对能源市场期权定价的影响：一种算术方法

在本文中，我们研究了电力现货价格算术动态中的均值回复成分对掉期看涨期权价格的影响。我们的模型允许电价的季节性影响、峰值和负值。我们表明，对于掉期合约的足够大的交割期，由于忽略一些影响现货价格演变的均值回归过程而导致的误差收敛为零。明确计算衰减率。这是通过利用电价过程的附加结构来实现的，以确定掉期看涨​​期权价格的明确封闭式公式。然后通过数值例子说明理论分析。