Dynamic pricing of wind futures
Daily average wind speeds are dynamically modelled by a continuous-time autoregressive model with seasonal mean and volatility. Futures prices based on an index of aggregated wind speeds are derived, and it is shown that the Samuelson effect breaks down. The volatility of these futures will decrease when approaching maturity, an effect which is explained by the memory in higher-order autoregressive models.
Year of publication: |
2009
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Authors: | Benth, Fred Espen ; Saltyte Benth, Jurate |
Published in: |
Energy Economics. - Elsevier, ISSN 0140-9883. - Vol. 31.2009, 1, p. 16-24
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Publisher: |
Elsevier |
Keywords: | Wind power Weather derivatives Wind futures Hedging Continuous-time autoregressive process Seasonality Samuelson effect |
Saved in:
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