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A Two-Factor Model for the Electricity Forward Market


Böerger, Reik H.; Kiesel, Rüdiger; Schindlmayr, Gero


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Abstract This paper provides a two-factor model for electricity futures, which captures the main features of the market and fits the term structure of volatility. The approach extends the one-factor-model of Clewlow and Strickland to a two-factor model and modifies it to make it applicable to the electricity market. We will especially take care of the existence of delivery periods in the underlying futures. Additionally, the model is calibrated to options on electricity futures and its performance for practical application is discussed.
Klassifikation Wirtschaftssektoren; Wirtschaftsstatistik, Ökonometrie, Wirtschaftsinformatik
Methode Theorieanwendung
Freie Schlagwörter Quantitative finance; Weather derivative pricing; Applied mathematical finance; Time series analysis
Sprache Dokument Englisch
Publikationsjahr 2009
Seitenangabe S. 279-287
Zeitschriftentitel Quantitative Finance, 9 (2009) 3
DOI http://dx.doi.org/10.1080/14697680802126530
Status Postprint; begutachtet (peer reviewed)
Lizenz PEER Licence Agreement (applicable only to documents from PEER project)