Corpus ID: 154386349

Pricing swing options and other electricity derivatives

  title={Pricing swing options and other electricity derivatives},
  author={Tino Kluge},
  • Tino Kluge
  • Published 2006
  • Economics
  • 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
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