Pricing German Energiewende products: Intraday cap/floor futures

W.J. Hinderks and A. Wagner

Energy Economics, 2019, vol. 81, issue C, 287-296

Abstract: In this paper, we introduce a model for the pricing of German intraday cap/floor futures, introduced by the EEX in 2015. We give a thorough overview of the German intraday market and in particular introduce the ID3 price index, which is the underlying for intraday cap/floor futures. To price these derivatives, we propose a Hull-White model from interest rate theory with seasonality from futures prices. We apply our theoretical results to market data and conduct an empirical analysis involving the initial fit and empirical distribution of intraday cap futures prices.

Keywords: Intraday cap/floor futures; ID3 price index; German intraday market; Energiewende products; Hull-White model; Factor model (search for similar items in EconPapers)
JEL-codes: C10 C50 Q40 (search for similar items in EconPapers)
Date: 2019
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (3)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:eneeco:v:81:y:2019:i:c:p:287-296

DOI: 10.1016/j.eneco.2019.04.005

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