http://www.erasmusenergy.com en-us N/A dejong@kyos.com Thu, 16 Oct 2008 09:14:44 CEST 20 http://www.erasmusenergy.com/articles/56/1/Valuation-and-risk-management-in-the-Norwegian-electricity-market/Page1.html Published in:
Publication year: 2000
Co-author 1: H. Rasmussen
Co-author 2: G. Stensland

The purpose of this paper is two-fold: Firstly, we analyze option value approximation of traded options in the presence of a volatility term structure. The options are identified as: European (written on the forward price of a future flow delivery); and (ii) Asian. Both types are in fact written on (arithmetic) price averages. Secondly, adopting a 3-factor model for market risk which is compatible with the valuation results, we discuss risk manage- ment in the electricity market within the Value at Risk concept. The analysis is illustrated by numerical cases from the Norwegian electricity derivatives market.]]> no@spam.com (Petter Bjerksund) Mon, 01 Oct 2007 11:01:23 CEST http://www.erasmusenergy.com/articles/56/1/Valuation-and-risk-management-in-the-Norwegian-electricity-market/Page1.html