Basics of electricity derivative pricing in competitive markets
Iivo Vehviläinen ()
Applied Mathematical Finance, 2002, vol. 9, issue 1, 45-60
This paper studies the application of the available financial theory to the deregulated electricity market. The special characteristics of electricity make the market different from all other commodity markets. The paper introduces a coherent framework for the assets and instruments in the electricity markets in the financial tradition. Properties of the instruments that are available in the Scandinavian electricity market are studied in more detail.
Keywords: Electricity Derivatives; Electricity Forwards; Exotic Options; Pricing (search for similar items in EconPapers)
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Persistent link: https://EconPapers.repec.org/RePEc:taf:apmtfi:v:9:y:2002:i:1:p:45-60
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