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- W2938222321 abstract "Abstract In this paper, we introduce a model for the pricing of German intraday cap/floor futures, introduced by the EEX in 2015. We give a thorough overview of the German intraday market and in particular introduce the ID3 price index, which is the underlying for intraday cap/floor futures. To price these derivatives, we propose a Hull-White model from interest rate theory with seasonality from futures prices. We apply our theoretical results to market data and conduct an empirical analysis involving the initial fit and empirical distribution of intraday cap futures prices." @default.
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- W2938222321 date "2019-06-01" @default.
- W2938222321 modified "2023-09-27" @default.
- W2938222321 title "Pricing German Energiewende products: Intraday cap/floor futures" @default.
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- W2938222321 doi "https://doi.org/10.1016/j.eneco.2019.04.005" @default.
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