• Economics
  • Published 2006

Pricing Swing Options and other Electricity Derivatives

@inproceedings{Kluge2006PricingSO,
  title={Pricing Swing Options and other Electricity Derivatives},
  author={Tino Kluge},
  year={2006}
}
The deregulation of regional electricity markets has led to more competitive prices but also higher uncertainty in the future electricity price development. Most markets exhibit high volatilities and occasional distinctive price spikes, which results in demand for derivative products which protect the holder against high prices. A good understanding of the stochastic price dynamics is required for the purposes of risk management and pricing derivatives. In this thesis we examine a simple spot… CONTINUE READING

Citations

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Pricing and Hedging of Swing Options in the European Electricity and Gas Markets

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Valuation of Swing Options in Electricity Commodity Markets

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