| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 4928294 | Sustainable Cities and Society | 2016 | 20 Pages |
Abstract
The purpose of this paper is to show that by using the toolkit of interest rate theory, it is possible to evaluate option prices through an electricity market equilibrium model. Options represent an adequate instrument to manage price risk faced by electricity producers that are related to both pool price and unit availability uncertainty. We have priced path dependent put and call Asian options by using arithmetic average, verifying that the possibility of market agents to forecast the future demand contributes to the market efficiency making option price level lower.
Related Topics
Physical Sciences and Engineering
Energy
Renewable Energy, Sustainability and the Environment
Authors
Viviana Fanelli, Lucia Maddalena, Silvana Musti,