8th International Conference on Probability Methods Applied to Power Systems - PMAPS 2004, Ames (Estados Unidos de América). 12-16 septiembre 2004
Resumen:
As a result of the deregulation processes, liberalized markets, where electricity futures and derivatives are traded, have arisen all over the world. Utilities, consumers, traders and, generally, market agents must do quantitative assessments of their positions. Basic analytical data are the forward and volatility curves of the traded products. Ideally, these curves should be derived from publicly available traded prices. However, as electricity derivative markets are usually rather thin, alternative procedures based on spot prices and theoretical computations must be used instead. In this paper, a new spot price evolution model is proposed and the resulting theoretical forward and volatility curves derived.
Palabras clave: No disponible/Not available
Publicado en PMAPS 2004, pp: 8-13, ISBN: 0-9761319-1-9
Fecha de publicación: 2005-01-17.
Cita:
J. Barquín, Á. Garro, E.F. Sánchez-Úbeda, S. Tejero, A new model for electricity price series modelling and forward and volatility curves computation, 8th International Conference on Probability Methods Applied to Power Systems - PMAPS 2004, Ames (Estados Unidos de América). 12-16 septiembre 2004. En: PMAPS 2004: Conference proceedings, ISBN: 0-9761319-1-9
