A structural risk-neutral model for pricing and hedging electricity derivatives
DSpace/Manakin Repository
A structural risk-neutral model for pricing and hedging electricity derivatives
| Title: | A structural risk-neutral model for pricing and hedging electricity derivatives |
| Author: | Aïd, René; Campi, Luciano; Langrené, Nicolas |
| Type: |
|
| Date de création: | 2012 |
| Nombre de pages: | 41 |
| Résumé en anglais: | We develop a structural risk-neutral model for energy market modifying along several directions the approach introduced in Aid et al. (2009). In particular a scarcity function is introduced to allow important deviations of the spot price from the marginal fuel price, producing price spikes. We focus on pricing and hedging electricity derivatives. The hedging instruments are forward contracts on fuels and electricity. The presence of production capacities and electricity demand makes such a market incomplete. We follow a local risk minimization approach to price and hedge energy derivatives. Despite the richness of information included in the spot model, we obtain closed-form formulae for futures prices and semi-explicit formulae for spread options and European options on electricity forward contracts. An analysis of the electricity price risk premium is provided showing the contribution of demand and capacity to the futures prices. We show that when far from delivery, electricity futures behave like a basket of futures on fuels. |
| Description : | A paraitre sous forme imprimée |
| Lien vers un document non conservé dans cette base: | http://hal.archives-ouvertes.fr/hal-00525800/fr/ |
| Indexation documentaire: | Economie financière |
| Sujet(s): | Electricity spot and forward prices; Extended incomplete Goodwin-Staton integral; Fuels; Capacity; Electricity demand; Scarcity function; ocal risk minimization; Minimal martingale measure; Spread options; Power derivatives |
| JEL Code: | D4; G13 |
| URL de la notice: | http://basepub.dauphine.fr/xmlui/handle/123456789/4979 |
| PUBLIE DANS | |
| Nom de la revue: | Mathematical Finance |
| Parution: | 2012 |
| Editeur: | Wiley |
| Réf. Version publiée: | http://dx.doi.org/10.1111/j.1467-9965.2011.00507.x |
Files in this item
| Files | Size | Format | View |
|---|---|---|---|
|
There are no files associated with this item. |
|||
This item appears in the following Collection(s)
Browse
My Account
Statistics
This website is using Manakin, a new front end for DSpace created by Texas A&M University
Libraries.
For more information visit
http://di.tamu.edu et
http://dspace.org
Content on this site is licensed under a Creative Commons 2.0 France (CC BY-NC-ND 2.0) license.
Université Paris-Dauphine