An Ambit Stochastic Approach to Pricing Electricity Forward Contracts: The Case of the German Energy Market

Table 7

In the first column, we have the months of electricity supply of the peak contracts considered, while in the next three columns we have the mean absolute percentage errors obtained in the long-term forecasts of the contracts value during the first, second, and third month of trading, respectively, using a geometric Brownian motion.

Month	1st month	2nd month	3rd month
April 2012	4,13%	3,98%	5,69%
May 2012	4,33%	3,58%	4,72%
June 2012	4,16%	2,87%	4,21%
July 2012	1,94%	1,91%	2,48%
August 2012	2,07%	2,94%	2,32%
September 2012	4,12%	3,51%	5,11%
October 2012	1,81%	2,42%	2,40%
November 2012	3,95%	3,41%	5,35%
December 2012	3,49%	2,54%	3,27%
January 2013	1,61%	1,78%	2,84%
February 2013	3,69%	4,22%	7,53%
March 2013	7,50%	6,09%	9,79%