Corpus ID: 154386349

Pricing swing options and other electricity derivatives

@inproceedings{Kluge2006PricingSO,
  title={Pricing swing options and other electricity derivatives},
  author={Tino Kluge},
  year={2006}
}
  • 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
    60 Citations
    Valuation of Swing Options in Electricity Commodity Markets
    • 4
    • Highly Influenced
    • PDF
    Pricing and Hedging of Swing Options in the European Electricity and Gas Markets
    • 1
    • Highly Influenced
    Modeling electricity spot prices: combining mean reversion, spikes, and stochastic volatility
    • 12
    • PDF
    Mean-Reverting Stochastic Models for the Electricity Spot Market
    • 1
    Centralized Volatility Reduction for Electricity Markets.

    References

    SHOWING 1-10 OF 47 REFERENCES
    Valuation of Commodity-Based Swing Options
    • 280
    • PDF