[go: up one dir, main page]
IDEAS home Printed from https://ideas.repec.org/a/eee/eneeco/v25y2003i5p409-424.html
   My bibliography  Save this article

Constructing forward price curves in electricity markets

Author

Listed:
  • Fleten, Stein-Erik
  • Lemming, Jacob
Abstract
No abstract is available for this item.

Suggested Citation

  • Fleten, Stein-Erik & Lemming, Jacob, 2003. "Constructing forward price curves in electricity markets," Energy Economics, Elsevier, vol. 25(5), pages 409-424, September.
    • Handle: RePEc:eee:eneeco:v:25:y:2003:i:5:p:409-424
    as

    Download full text from publisher

    File URL: http://www.sciencedirect.com/science/article/pii/S0140-9883(03)00039-2
    Download Restriction: Full text for ScienceDirect subscribers only
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    References listed on IDEAS

    as
    1. Robert A. Jarrow, 2009. "The Term Structure of Interest Rates," Annual Review of Financial Economics, Annual Reviews, vol. 1(1), pages 69-96, November.
    2. Schwartz, Eduardo S, 1997. "The Stochastic Behavior of Commodity Prices: Implications for Valuation and Hedging," Journal of Finance, American Finance Association, vol. 52(3), pages 923-973, July.
    3. Les Clewlow & Chris Strickland, 1999. "Valuing Energy Options in a One Factor Model Fitted to Forward Prices," Research Paper Series 10, Quantitative Finance Research Centre, University of Technology, Sydney.
    4. Black, Fischer, 1976. "The pricing of commodity contracts," Journal of Financial Economics, Elsevier, vol. 3(1-2), pages 167-179.
    Full references (including those not matched with items on IDEAS)

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. de Jong, C.M. & Huisman, R., 2002. "Option Formulas for Mean-Reverting Power Prices with Spikes," ERIM Report Series Research in Management ERS-2002-96-F&A, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam.
    2. Bisht Deepak & Laha, A. K., 2017. "Pricing Option on Commodity Futures under String Shock," IIMA Working Papers WP 2017-07-02, Indian Institute of Management Ahmedabad, Research and Publication Department.
    3. Golbeck, Steven & Linetsky, Vadim, 2013. "Asset financing with credit risk," Journal of Banking & Finance, Elsevier, vol. 37(1), pages 43-59.
    4. Crosby, John & Frau, Carme, 2022. "Jumps in commodity prices: New approaches for pricing plain vanilla options," Energy Economics, Elsevier, vol. 114(C).
    5. Koekebakker, Steen & Adland, Roar & Sødal, Sigbjørn, 2007. "Pricing freight rate options," Transportation Research Part E: Logistics and Transportation Review, Elsevier, vol. 43(5), pages 535-548, September.
    6. Hendrik Kohrs & Hermann Mühlichen & Benjamin R. Auer & Frank Schuhmacher, 2019. "Pricing and risk of swing contracts in natural gas markets," Review of Derivatives Research, Springer, vol. 22(1), pages 77-167, April.
    7. Unterschultz, James R., 2000. "New Instruments For Co-Ordination And Risk Sharing Within The Canadian Beef Industry," Project Report Series 24046, University of Alberta, Department of Resource Economics and Environmental Sociology.
    8. Chiarella, Carl & Kang, Boda & Nikitopoulos, Christina Sklibosios & Tô, Thuy-Duong, 2013. "Humps in the volatility structure of the crude oil futures market: New evidence," Energy Economics, Elsevier, vol. 40(C), pages 989-1000.
    9. Bujar Huskaj & Marcus Nossman, 2013. "A Term Structure Model for VIX Futures," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 33(5), pages 421-442, May.
    10. E. Nasakkala & J. Keppo, 2008. "Hydropower with Financial Information," Applied Mathematical Finance, Taylor & Francis Journals, vol. 15(5-6), pages 503-529.
    11. Back, Janis & Prokopczuk, Marcel & Rudolf, Markus, 2013. "Seasonality and the valuation of commodity options," Journal of Banking & Finance, Elsevier, vol. 37(2), pages 273-290.
    12. Francis A. Longstaff, 2004. "Optimal Recursive Refinancing and the Valuation of Mortgage-Backed Securities," NBER Working Papers 10422, National Bureau of Economic Research, Inc.
    13. Xiao, Chang & Florescu, Ionut & Zhou, Jinsheng, 2020. "A comparison of pricing models for mineral rights: Copper mine in China," Resources Policy, Elsevier, vol. 65(C).
    14. Peilun He & Karol Binkowski & Nino Kordzakhia & Pavel Shevchenko, 2021. "On Modelling of Crude Oil Futures in a Bivariate State-Space Framework," Papers 2108.01886, arXiv.org.
    15. Gil-Bazo, Javier, 2005. "Market imperfections, discount factors and stochastic dominance: an empirical analysis with oil-linked derivatives," DEE - Working Papers. Business Economics. WB wb055013, Universidad Carlos III de Madrid. Departamento de Economía de la Empresa.
    16. Max F. Schöne & Stefan Spinler, 2017. "A four-factor stochastic volatility model of commodity prices," Review of Derivatives Research, Springer, vol. 20(2), pages 135-165, July.
    17. Karol Binkowski & Peilun He & Nino Kordzakhia & Pavel Shevchenko, 2021. "On the Parameter Estimation in the Schwartz-Smiths Two-Factor Model," Papers 2108.01881, arXiv.org.
    18. Benjamin Cheng & Christina Nikitopoulos-Sklibosios & Erik Schlogl, 2015. "Pricing of Long-dated Commodity Derivatives with Stochastic Volatility and Stochastic Interest Rates," Research Paper Series 366, Quantitative Finance Research Centre, University of Technology, Sydney.
    19. Isabel Figuerola‐Ferretti & Alejandro Rodríguez & Eduardo Schwartz, 2021. "Oil price analysts' forecasts," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 41(9), pages 1351-1374, September.
    20. Richter, Martin & Sørensen, Carsten, 2002. "Stochastic Volatility and Seasonality in Commodity Futures and Options: The Case of Soybeans," Working Papers 2002-4, Copenhagen Business School, Department of Finance.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:eneeco:v:25:y:2003:i:5:p:409-424. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.elsevier.com/locate/eneco .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.