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• W2143557252 abstract "In this paper analytic formulas for electricity derivatives are calculated. To this end, we assume that electricity spot prices follow a 3-regime Markov regime-switching model with independent spikes and drops and periodic transition matrix. Since the classical derivatives pricing methodology cannot be used in case of non-storable commodities, we employ the concept of the risk premium. The obtained theoretical results are then used for the European Energy Exchange (EEX) market data. The 3-regime model is calibrated to the spot electricity prices. Next, the risk premium is derived and used to calculate prices of European options written on spot, as well as, forward prices." @default.
• W2143557252 created "2016-06-24" @default.
• W2143557252 creator A5037628069 @default.
• W2143557252 date "2012-03-24" @default.
• W2143557252 modified "2023-09-27" @default.
• W2143557252 title "Pricing electricity derivatives within a Markov regime-switching model" @default.
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• W2143557252 hasPublicationYear "2012" @default.
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