Valuing virtual production capacities on flow commodities

DOI10.1007/S00186-006-0087-ZzbMATH Open1151.91570OpenAlexW2074370891MaRDI QIDQ857950FDOQ857950

Authors 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)

Recommendations

• PRICING FLOW COMMODITY DERIVATIVES USING FIXED INCOME MARKET TECHNIQUES
• Valuation of Commodity-Based Swing Options
• Valuation and pricing of electricity delivery contracts: the producer's view
• Pricing and risk of swing contracts in natural gas markets
• Pricing electricity risk by interest rate methods

Cites work

• scientific article; zbMATH DE number 51724 (Why is no real title available?)
• scientific article; zbMATH DE number 739283 (Why is no real title available?)
• scientific article; zbMATH DE number 1055921 (Why is no real title available?)
• scientific article; zbMATH DE number 1095739 (Why is no real title available?)
• A DIFFUSION MODEL FOR ELECTRICITY PRICES
• Changes of numéraire, changes of probability measure and option pricing
• Electricity prices and power derivatives: evidence from the Nordic Power Exchange
• Modelling day‐ahead electricity prices
• Pricing and Hedging Spread Options
• Pricing electricity risk by interest rate methods

Cited in

(6)

• Risk management in power markets: the hedging value of production flexibility
• A review of the operations literature on real options in energy
• PRICING FLOW COMMODITY DERIVATIVES USING FIXED INCOME MARKET TECHNIQUES
• Valuation and pricing of electricity delivery contracts: the producer's view
• Optimal Quantization for the Pricing of Swing Options
• Pricing of Swing Options in a Mean Reverting Model with Jumps

This page was built for publication: Valuing virtual production capacities on flow commodities

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q857950)