Electricity Prices and Power Derivatives: Evidence from the Nordic Power Exchange |
| |
Authors: | Julio J Lucia Eduardo S Schwartz |
| |
Institution: | (1) Dpto. Economía Financiera y Matemática, Universidad de Valencia, Avda. de los Naranjos s/n, 46022 Valencia, Spain;(2) The Anderson School at UCLA, Box 951481, Los Angeles, CA 90095-1481, USA |
| |
Abstract: | This paper examines the importance of the regular pattern in the behavior of electricity prices, and its implications for the purposes of derivative pricing. We analyze the Nordic Power Exchange's spot, futures, and forward prices. We conclude that the seasonal systematic pattern throughout the year, in particular, is of crucial importance in explaining the shape of the futures/forward curve. Moreover, in the context of the oneand two factor models analyzed in this paper, a simple sinusoidal functionis adequate in order capture the seasonal pattern of the features and forwardcurve directly implied by the seasonal behavior of spot electricity prices. |
| |
Keywords: | energy derivatives electricity futures seasonal effects |
本文献已被 SpringerLink 等数据库收录! |
|