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The price of power : the valuation of power and weather derivatives
Pirrong, Craig; Jermakyan, Martin - In: Journal of banking & finance 32 (2008) 12, pp. 2520-2529
Persistent link: https://www.econbiz.de/10003795768
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Electricity market coupling and the pricing of transmission rights : an option-based approach
Mahringer, Steffen; Füss, Roland; Prokopczuk, Marcel - 2015 - This version: June 2015
In electricity markets globally, market participants and policymakers increasingly focus on integrating adjacent, yet separate market areas via cross-border trade in electricity. Based on a discussion of the institutional framework for organizing cross-border trade, this paper analyzes how spot...
Persistent link: https://www.econbiz.de/10011344188
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Electricity futures price models : calibration and forecasting
Islyaev, Suren; Date, Paresh - In: European journal of operational research : EJOR 247 (2015) 1, pp. 144-154
Persistent link: https://www.econbiz.de/10011347115
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Modeling electricity spot prices : combining mean reversion, spikes, and stochastic volatility
Mayer, Klaus; Schmid, Thomas; Weber, Florian - In: The European journal of finance 21 (2015) 4/6, pp. 292-315
Persistent link: https://www.econbiz.de/10010528197
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A critical empirical study of three electricity spot price models
Benth, Fred Espen; Kiesel, Rüdiger; Nazarova, Anna - In: Energy economics 34 (2012) 5, pp. 1589-1616
Persistent link: https://www.econbiz.de/10009687984
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Joint econometric modeling of spot electricity prices, forwards and options
Monfort, Alain; Féron, Olivier - In: Review of derivatives research 15 (2012) 3, pp. 217-256
Persistent link: https://www.econbiz.de/10009709687
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A model for hedging load and price risk in the Texas electricity market
Coulon, Michael; Powell, Warren B.; Sircar, Kaushik Ronnie - In: Energy economics 40 (2013), pp. 976-988
Persistent link: https://www.econbiz.de/10010355997
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A theory of directional pricing and its application to electricity policy
Maeda, Akira; Nagaya, Makiko - In: International journal of economics and business research 7 (2014) 1, pp. 1-16
Persistent link: https://www.econbiz.de/10010350831
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An option-based approach for the fair pricing of flexible electricity supply
Rosen, Christiane; Madlener, Reinhard - 2015
Persistent link: https://www.econbiz.de/10011533700
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Futures pricing in electricity markets based on stable CARMA spot models
Benth, Fred Espen; Klüppelberg, Claudia; Müller, Gernot; … - In: Energy economics 44 (2014), pp. 392-406
Persistent link: https://www.econbiz.de/10010457150