A Two-Factor Model for the Electricity Forward Market

Autor:	Böerger, Reik H., Kiesel, Rüdiger, Schindlmayr, Gero
Rok vydání:	2009
Předmět:	Wirtschaft Economics Quantitative finance Weather derivative pricing Applied mathematical finance Time series analysis Economic Statistics Econometrics Business Informatics Economic Sectors Wirtschaftsstatistik Ökonometrie Wirtschaftsinformatik Wirtschaftssektoren Theorieanwendung theory application
Zdroj:	Quantitative Finance, 9, 3, 279-287
Druh dokumentu:	journal article<br />Zeitschriftenartikel
DOI:	10.1080/14697680802126530
Popis:	This paper provides a two-factor model for electricity futures, which captures the main features of the market and fits the term structure of volatility. The approach extends the one-factor-model of Clewlow and Strickland to a two-factor model and modifies it to make it applicable to the electricity market. We will especially take care of the existence of delivery periods in the underlying futures. Additionally, the model is calibrated to options on electricity futures and its performance for practical application is discussed.
Databáze:	SSOAR – Social Science Open Access Repository
Externí odkaz:	http://www.ssoar.info/ssoar/handle/document/22123 Zobrazit plný text záznamu Plný text ve formátu PDF Plný text ve formátu HTML
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