Show simple item record

dc.contributor.authorLangrené, Nicolas
dc.contributor.authorCampi, Luciano
dc.contributor.authorAïd, René
dc.date.accessioned2013-07-02T10:16:35Z
dc.date.available2013-07-02T10:16:35Z
dc.date.issued2013
dc.identifier.urihttps://basepub.dauphine.fr/handle/123456789/11500
dc.language.isoenen
dc.subjectextended incomplete Goodwin–Staton integralen
dc.subjectspread optionsen
dc.subjectpower derivativesen
dc.subjectminimal martingale measureen
dc.subjectlocal risk minimizationen
dc.subjectscarcity functionen
dc.subjectelectricity demanden
dc.subjectcapacityen
dc.subjectfuelsen
dc.subjectElectricity spot and forward pricesen
dc.subject.ddc332en
dc.subject.classificationjelG1en
dc.subject.classificationjelQ41en
dc.titleA Structural Risk-Neutral Model for Pricing and Hedging Power Derivativesen
dc.typeArticle accepté pour publication ou publié
dc.contributor.editoruniversityotherLPMA, UMR 7599, Université Paris Diderot, Sorbonne Paris Cité, and FiME;France
dc.description.abstractenWe develop a structural risk-neutral model for energy market modifying along several directions the approach introduced in Aïd et al. 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 semiexplicit 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.en
dc.relation.isversionofjnlnameMathematical Finance
dc.relation.isversionofjnlvol23en
dc.relation.isversionofjnlissue3en
dc.relation.isversionofjnldate2013
dc.relation.isversionofjnlpages387-438en
dc.relation.isversionofdoihttp://dx.doi.org/10.1111/j.1467-9965.2011.00507.xen
dc.identifier.urlsitehttp://hal.archives-ouvertes.fr/hal-00525800/fr/
dc.relation.isversionofjnlpublisherWileyen
dc.subject.ddclabelEconomie financièreen
dc.relation.forthcomingnonen
dc.relation.forthcomingprintnonen


Files in this item

FilesSizeFormatView

There are no files associated with this item.

This item appears in the following Collection(s)

Show simple item record