dc.date.accessioned | 2015-01-26T10:18:31Z | |
dc.date.available | 2015-01-26T10:18:31Z | |
dc.date.created | 2014-09-19T11:54:39Z | |
dc.date.issued | 2014 | |
dc.identifier.uri | http://hdl.handle.net/10852/41911 | |
dc.description.abstract | In this paper we derive power futures prices from a two-factor spot model being a generalization of the classical Schwartz–Smith commodity dynamics. We include non-Gaussian effects by introducing Lévy processes as the stochastic drivers, and estimate the model to data observed at the European Electricity Exchange in Germany. The spot and futures price models are fitted jointly, including the market price of risk parameterized from an Esscher transform. We apply this model to price call and put options on power futures. It is argued theoretically that the pricing measure for options may be different to the pricing measure of futures from spot in power markets due to the non-storability of the electricity spot. Empirical evidence pointing to this fact is found from option prices observed at the European Electricity Exchange.
The definitive version is available at springerlink.com | en_US |
dc.language | EN | |
dc.language.iso | en | en_US |
dc.title | Pricing Futures and Options in Electricity Markets | en_US |
dc.type | Chapter | en_US |
dc.creator.author | Benth, Fred Espen | |
dc.creator.author | Schmeck, Maren Diane | |
cristin.unitcode | 185,15,13,0 | |
cristin.unitname | Matematisk institutt | |
cristin.ispublished | true | |
cristin.fulltext | postprint | |
dc.identifier.cristin | 1155996 | |
dc.identifier.startpage | 233 | |
dc.identifier.endpage | 260 | |
dc.identifier.doi | http://dx.doi.org/10.1007/978-3-642-55382-0_10 | |
dc.identifier.urn | URN:NBN:no-46330 | |
dc.type.document | Bokkapittel | en_US |
dc.type.peerreviewed | Peer reviewed | |
dc.identifier.fulltext | Fulltext https://www.duo.uio.no/bitstream/handle/10852/41911/1/el-pricing-springer.pdf | |
dc.type.version | AcceptedVersion | |
cristin.btitle | The Interrelationship Between Financial and Energy Markets | |