A two-factor model for the electricity forward market

被引：52

作者：

Kiesel, Ruediger ^{[1
]}

Schindlmayr, Gero ^{[2
]}

Boerger, Reik H. ^{[1
]}

机构：

[1] Univ Ulm, Dept Financial Math, D-89069 Ulm, Germany

[2] EnBW Trading GmbH, Karlsruhe, Germany

来源：

QUANTITATIVE FINANCE | 2009年 / 9卷 / 03期

关键词：

Quantitative finance; Weather derivative pricing; Applied mathematical finance; Time series analysis; DYNAMICS;

D O I：

10.1080/14697680802126530

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

This paper provides a two-factor model for electricity futures that captures the main features of the market and fits the term structure of volatility. The approach extends the one-factor model of Clewlow and Strickland to a two-factor model and modifies it to make it applicable to the electricity market. We will particularly deal with the existence of delivery periods in the underlying futures. Additionally, the model is calibrated to options on electricity futures and its performance for practical application is discussed.

引用

页码：279 / 287

页数：9

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