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Structural price model for coupled electricity markets

C. Alasseur and O. Féron

Energy Economics, 2018, vol. 75, issue C, 104-119

Abstract: We propose a new structural model that can compute the electricity spot and forward prices in two coupled markets with limited interconnection and multiple fuels. We choose a structural approach in order to represent some key characteristics of electricity spot prices such as their link to fuel prices, consumption level and production fleet. With this model, explicit formulas are also available for forward prices and other derivatives. We give some illustrative results of the behaviour of spot, forward and transmission rights prices.

Keywords: Energy markets; Structural models; Derivatives pricing; Electricity forwards; Interconnection (search for similar items in EconPapers)
JEL-codes: C60 G12 G13 Q40 (search for similar items in EconPapers)
Date: 2018
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Energy Economics is currently edited by R. S. J. Tol, Beng Ang, Lance Bachmeier, Perry Sadorsky, Ugur Soytas and J. P. Weyant

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