کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
5065372 1372313 2009 11 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
A 'simple' hybrid model for power derivatives
موضوعات مرتبط
مهندسی و علوم پایه مهندسی انرژی انرژی (عمومی)
پیش نمایش صفحه اول مقاله
A 'simple' hybrid model for power derivatives
چکیده انگلیسی

This paper presents a method for valuing power derivatives using a supply-demand approach. Our method extends work in the field by incorporating randomness into the base load portion of the supply stack function and equating it with a noisy demand process. We obtain closed form solutions for European option prices written on average spot prices considering two different supply models: a mean-reverting model and a Markov chain model. The results are extensions of the classic Black-Scholes equation. The model provides a relatively simple approach to describe the complicated price behaviour observed in electricity spot markets and also allows for computationally efficient derivatives pricing.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Energy Economics - Volume 31, Issue 5, September 2009, Pages 757-767
نویسندگان
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