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The Market Price of Risk for Delivery Periods: Pricing Swaps and Options in Electricity[...]
Averaging of Futures Contracts
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
Seasonal Dependence on the Trading Day
Samuelson Effect
Delivery-Dependent Seasonality
Numerical Comparison of the Effects
Conclusion
Technical Requirements
An Application of Girsanov's Theorem for the Examples
Proof of Theorem 1
On the Solutions of the Differential Equations
Working Paper
The Market Price of Risk for Delivery Periods: Pricing Swaps and Options in Electricity Markets
Place and Date of Creation
2020
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