Managing Electricity Risk
In this paper we propose an algorithm for pricing derivatives written about 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. Copyright Banca Monte dei Paschi di Siena SpA, 2003
Year of publication: |
2003
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Authors: | Barone-Adesi, Giovanni ; Gigli, Andrea |
Published in: |
Economic Notes. - Banca Monte dei Paschi di Siena SpA. - Vol. 32.2003, 2, p. 283-294
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Publisher: |
Banca Monte dei Paschi di Siena SpA |
Saved in:
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