http://www.erasmusenergy.com en-us N/A dejong@maycroft.com Thu, 28 Aug 2008 15:58:34 CEST 20 http://www.erasmusenergy.com/articles/18/1/Electricity-Derivatives/Page1.html Published in:
Publication year: 2002
Co-Author 1: Andrea Gigli

In this paper we propose an algorithm for pricing derivatives written on electricity in an incomplete market setting. A discrete time model for price dynamics which embodies the main features of electricity price revealed by simple time series analysis is considered. We use jointly Binomial and Monte Carlo methods for pricing under a risk-neutral measure of which we prove the existence.]]> no@spam.com (Giovanni Barone-Adesi) Thu, 20 Sep 2007 16:53:36 CEST http://www.erasmusenergy.com/articles/18/1/Electricity-Derivatives/Page1.html