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- W2460988975 abstract "Abstract The purpose of this paper is to show that by using the toolkit of interest rate theory, it is possible to evaluate option prices through an electricity market equilibrium model. Options represent an adequate instrument to manage price risk faced by electricity producers that are related to both pool price and unit availability uncertainty. We have priced path dependent put and call Asian options by using arithmetic average, verifying that the possibility of market agents to forecast the future demand contributes to the market efficiency making option price level lower." @default.
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- W2460988975 date "2016-11-01" @default.
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- W2460988975 title "Asian options pricing in the day-ahead electricity market" @default.
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- W2460988975 doi "https://doi.org/10.1016/j.scs.2016.06.025" @default.
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