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A Two-Factor Model for the Electricity Forward Market
[Zeitschriftenartikel]
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... mehr
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.... weniger
Klassifikation
Wirtschaftsstatistik, Ökonometrie, Wirtschaftsinformatik
Wirtschaftssektoren
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
https://doi.org/10.1080/14697680802126530
Status
Postprint; begutachtet (peer reviewed)
Lizenz
PEER Licence Agreement (applicable only to documents from PEER project)