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A ‘simple’ hybrid model for power derivatives

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dc.contributor.authorElliott, Robert
dc.contributor.authorLyle, Matthew R.
dc.date.accessioned2012-06-28T16:43:16Z
dc.date.available2012-06-28T16:43:16Z
dc.date.issued2009
dc.descriptionArticle deposited according to the policy found on the Elsevier website, , http://www.elsevier.com/wps/find/authorsview.authors/postingpolicy, June 28, 2012.eng
dc.description.abstractThis paper presents a method for valuing power derivatives using a supply–demand approach. Our method extends work in the field by incorporating randomness into the base load portion of the supply stack function and equating it with a noisy demand process. We obtain closed form solutions for European option prices written on average spot prices considering two different supply models: a mean-reverting model and a Markov chain model. The results are extensions of the classic Black–Scholes equation. The model provides a relatively simple approach to describe the complicated price behaviour observed in electricity spot markets and also allows for computationally efficient derivatives pricing.eng
dc.description.refereedYeseng
dc.identifier.citationR.J. Elliott and M.R.Lyle, „A „Simple‟ Hybrid Model for Power Derivatives‟. Energy Economics 31 (2009) 757–767
dc.identifier.doihttp://dx.doi.org/10.11575/PRISM/34060
dc.identifier.issn0140-9883
dc.identifier.urihttp://hdl.handle.net/1880/49073
dc.language.isoeng
dc.publisherElseviereng
dc.publisher.corporateUniversity of Calgary
dc.publisher.facultyHaskayne School of Business
dc.publisher.hasversionPre-print
dc.publisher.urlhttp://www.journals.elsevier.com/energy-economics/eng
dc.subjectElectricity pricingeng
dc.subjectPower derivativeseng
dc.subject.otherSeasonalityeng
dc.titleA ‘simple’ hybrid model for power derivativeseng
dc.typejournal article
thesis.degree.disciplineFinanceeng

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