Kemper, Annika; Schmeck, Maren Diane; Khripunova Balci, Anna: The Market Price of Risk for Delivery Periods: Pricing Swaps and Options in Electricity Markets. In: . Jg.635. 2020
Inhalt
- Introduction
- Averaging of Futures Contracts
- Electricity Swap Price Models
- Seasonal Dependence on the Trading Day
- Samuelson Effect
- Delivery-Dependent Seasonality
- Comparison of the Models
- Further Arbitrage Considerations
- Absence of Arbitrage in a Market with N Swaps
- Absence of Arbitrage in a Market with Overlapping Swaps
- Electricity Options
- An Application of the Heston-Methodology
- The Effect of Seasonalities and Samuelson on the Swaps' Riccati Equation
- Conclusion