Electricity Derivatives Pricing with Forward-Looking Information
Electricity Derivatives Pricing with Forward-Looking Information
复制标题
具有前瞻性信息的电力衍生品定价
DOI：
10.2139/ssrn.2219855
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发表时间：
2015
影响因子：
8.9
通讯作者：
Marcel Prokopczuk
中科院分区：
文献类型：
--
作者：
Roland Füss;Steffen Mahringer;Marcel Prokopczuk
为了提高关键运营信息的整体透明度，输电系统运营商发布越来越多的基础数据，包括电力需求和可用容量的预测。我们采用了电价的基本模型，该模型非常适合整合此类预测，同时保持易于实施和易于处理，以允许分析衍生品定价公式。在广泛的期货定价研究中，我们的模型的定价性能在纳入电力需求和容量预测的基础上进一步提高，从而证实了前瞻性信息对于电力衍生品定价的普遍重要性。然而，我们还发现，将预测数据整合到定价方法中的用处主要限于电价对需求或可用容量高度敏感的时期，而当燃料价格成为价格的主要潜在驱动因素时，影响就不那么明显了。
In order to increase overall transparency on key operational information, power transmission system operators publish an increasing amount of fundamental data, including forecasts of electricity demand and available capacity. We employ a fundamental model for electricity prices which lends itself well to integrating such forecasts, while retaining ease of implementation and tractability to allow for analytic derivatives pricing formulae. In an extensive futures pricing study, the pricing performance of our model is shown to further improve based on the inclusion of electricity demand and capacity forecasts, thus confirming the general importance of forward-looking information for electricity derivatives pricing. However, we also find that the usefulness of integrating forecast data into the pricing approach is primarily limited to those periods during which electricity prices are highly sensitive to demand or available capacity, whereas the impact is less visible when fuel prices are the primary underlying driver to prices instead.
影响因子：
3.2
作者：
Lynch K
通讯作者：
Lynch K