Pricing and Hedging of Energy Options

Fred Espen Benth, Jūratė Šaltytė Benth and Steen Koekebakker
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Fred Espen Benth: University of Oslo, Norway
Jūratė Šaltytė Benth: University of Oslo, Norway
Steen Koekebakker: University of Agder, Norway

Chapter 9 in Stochastic Modeling of Electricity and Related Markets, 2008, pp 237-275 from World Scientific Publishing Co. Pte. Ltd.

Abstract: AbstractThe following sections are included:Pricing and hedging options on forwards and swapsThe case of no jumps – the Black-76 FormulaThe case of jumpsExotic OptionsSpread optionsAsian optionsCase Study: Valuation of spark spread options – a direct approachModelling and analysis of spark spread optionsEmpirical analysis of UK gas and electricity spread

Keywords: Electricity Market; Gas Market; Weather Derivatives; Temperature; Energy Market; Mean Reversion; Ornstein–Uhlenbeck Processes; Jump Processes; Levy Processes; Futures Contracts; Forward Contracts; Options (search for similar items in EconPapers)
Date: 2008
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