Electricity Derivatives
http://www.erasmusenergy.com/articles/18/1/Electricity-Derivatives/Page1.html
Giovanni Barone-Adesi
By Giovanni Barone-Adesi
Published on 09/20/2007
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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.
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.
Electricity Derivatives
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.