Valuation and Risk Management in the Norwegian Electricity Market

被引：21

作者：

Bjerksund, Petter ^{[1
]}

Rasmussen, Heine ^{[2
]}

Stensland, Gunnar ^{[1
]}

机构：

[1] Norwegian Sch Econ & Business Adm NHH, Dept Finance & Management Sci, N-5045 Bergen, Norway

[2] Statkraft, N-0216 Oslo, Norway

来源：

ENERGY, NATURAL RESOURCES AND ENVIRONMENTAL ECONOMICS | 2010年

关键词：

INTEREST-RATES; CONVENIENCE YIELDS; CONTINGENT CLAIMS; COMMODITY FUTURES; OPTIONS;

D O I：

10.1007/978-3-642-12067-1_11

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

The purpose of this paper is twofold: Firstly, we analyse the option value approximation of traded options in the presence of a volatility term structure. The options are identified as: (a) "European" (written on the forward price of a future flow delivery); and (b) "Asian". Both types are in fact written on (arithmetic) price averages. Secondly, adopting a 3-factor model for market risk which is compatible with the valuation results, we discuss risk management in the electricity market within the Value at Risk concept. The analysis is illustrated by numerical cases from the Norwegian electricity derivatives market.

引用

页码：167 / +

页数：2

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