A ‘simple’ hybrid model for power derivatives
dc.contributor.author | Elliott, Robert | eng |
dc.contributor.author | Lyle, Matthew R. | eng |
dc.date.accessioned | 2012-06-28T16:43:16Z | |
dc.date.available | 2012-06-28T16:43:16Z | |
dc.date.issued | 2009 | |
dc.description | Article deposited according to the policy found on the Elsevier website, , http://www.elsevier.com/wps/find/authorsview.authors/postingpolicy, June 28, 2012. | eng |
dc.description.abstract | 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. | eng |
dc.description.refereed | Yes | eng |
dc.identifier.citation | R.J. Elliott and M.R.Lyle, „A „Simple‟ Hybrid Model for Power Derivatives‟. Energy Economics 31 (2009) 757–767 | eng |
dc.identifier.doi | http://dx.doi.org/10.11575/PRISM/34060 | |
dc.identifier.issn | 0140-9883 | |
dc.identifier.uri | http://hdl.handle.net/1880/49073 | |
dc.language.iso | eng | eng |
dc.publisher | Elsevier | eng |
dc.publisher.corporate | University of Calgary | eng |
dc.publisher.faculty | Haskayne School of Business | eng |
dc.publisher.hasversion | Pre-print | |
dc.publisher.url | http://www.journals.elsevier.com/energy-economics/ | eng |
dc.subject | Electricity pricing | eng |
dc.subject | Power derivatives | eng |
dc.subject.other | Seasonality | eng |
dc.title | A ‘simple’ hybrid model for power derivatives | eng |
dc.type | journal article | |
thesis.degree.discipline | Finance | eng |