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UK Gas Markets : the Market Price of Risk and Applications to Multiple Interruptible Supply Contracts
Cartea, Álvaro - 2013
We employ the Schwartz and Smith (2000) model to explore the dynamics of the UK gas markets. We discuss in detail the short-term and long-term market prices of risk borne by the market players and how deviations from expected cyclical storage affect the short-term market price of risk. Finally,...
Persistent link: https://www.econbiz.de/10014055476
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How Much Should We Pay for Interconnecting Electricity Markets? A Real Options Approach
Cartea, Álvaro - 2013
financial terms, the value of an interconnector is the same as a strip of real options written on the spread between power …-reverting jump process. We express the value of these real options in closed-form. We apply our valuation tool to five pairs of …
Persistent link: https://www.econbiz.de/10013094537
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How much should we pay for interconnecting electricity markets? A real options approach
Cartea, Álvaro; González-Pedraz, Carlos - In: Energy Economics 34 (2012) 1, pp. 14-30
financial terms, the value of an interconnector is the same as a strip of real options written on the spread between power …-reverting jump process and express the value of these real options in closed-form. The valuation tool is applied to five pairs of …
Persistent link: https://www.econbiz.de/10011039669