Contreras, Javier; Rodríguez, Yeny E. - In: Applied Energy 136 (2014) C, pp. 259-268
A method based on Empirical Martingale Simulation (EMS) is presented to evaluate investments in wind energy. Risk-neutral prices are calculated, where electricity market prices are modeled using an ARIMA–GARCH method which shows conditional heteroskedasticity. The values of the put options are...