Pricing electricity derivatives on an hourly basis
Pricing electricity derivatives on an hourly basis
复制标题
按小时定价电力衍生品
DOI：
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发表时间：
2010
期刊：
影响因子：
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通讯作者：
M. Wobben
中科院分区：
文献类型：
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作者：
Nicole Branger;O. Reichmann;M. Wobben
本文的目的是开发一个按小时定价电力衍生品的框架。与大多数当前方法相反，我们并不只关注主要反映经验现货价格动态的现货模型，但也确保直接适用于电力衍生品的估值。我们证明，一旦我们考虑到与时间相关的跳跃和尖峰参数，具有跳跃和尖峰成分的模型就可以针对每小时现货价格的时间序列和期货价格的横截面进行校准。此外，我们还说明了电力市场中衍生品定价的重要性，并提供了一些期货期权和每小时现货期权的示例，例如运营储备和实物输电权。
The purpose of this paper is to develop a framework for pricing electricity derivatives on an hourly basis. We do not in contrast to most current approaches focus exclusively on spot models which primarily reflect empirical spot price dynamics, but also ensure a straightforward applicability to the valuation of electricity derivatives. We show that a model with a jump and a spike component can be calibrated to both the time-series of hourly spot prices and the cross-section of futures prices, once we allow for time-dependent jump and spike parameters. Furthermore, we illustrate the importance of derivative pricing in electricity markets and present some examples of options on futures and hourly spot-options, such as operating reserves and physical transmission rights.