Valuing virtual production capacities on flow commodities

DOI10.1007/s00186-006-0087-zzbMath1151.91570OpenAlexW2074370891MaRDI QIDQ857950

Juri Hinz

Publication date: 5 January 2007

Published in: Mathematical Methods of Operations Research (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/20.500.11850/404

zbMATH Keywords

Electricity riskEnergy economicsFutures marketsPower derivativesSwing option

Mathematics Subject Classification ID

Marketing, advertising (90B60)

Related Items (5)

A review of the operations literature on real options in energy ⋮ PRICING FLOW COMMODITY DERIVATIVES USING FIXED INCOME MARKET TECHNIQUES ⋮ Pricing of Swing Options in a Mean Reverting Model with Jumps ⋮ Optimal Quantization for the Pricing of Swing Options ⋮ Risk management in power markets: the hedging value of production flexibility

Cites Work

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• Electricity prices and power derivatives: evidence from the Nordic Power Exchange
• A DIFFUSION MODEL FOR ELECTRICITY PRICES
• Pricing and Hedging Spread Options
• Modelling day‐ahead electricity prices
• Changes of numéraire, changes of probability measure and option pricing
• Pricing electricity risk by interest rate methods

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