Petter Bjerksund
Articles by this Author
Valuation and risk management in the Norwegian electricity market
- By Petter Bjerksund
- Published 10/1/2007
- Valuation , Risk management
- Unrated
Keywords:
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.
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.
