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Does the Black- Sch...
Does the Black- Scholes formula work for electricity markets? A nonparametric approach
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- Hjalmarsson, Erik, 1975 (författare)
- Gothenburg University,Göteborgs universitet,Institutionen för nationalekonomi med statistik,Department of Economics
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(creator_code:org_t)
- Göteborg, 2003
- Engelska.
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Serie: Working Papers in Economics (online), 1403-2465 ; 101
- Relaterad länk:
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https://gup.ub.gu.se...
Abstract
Ämnesord
Stäng
- Despite the high volatilities recorded for electricity prices, there seems to be little demand for options on electricity. One reason for the disinterest in electricity options could arise from uncertainty about how to price these options. This study uses recent econometric advances to nonparametrically estimate correct prices for electricity options and compare these to the Black-Scholes prices. The main finding is that although the nonparametric estimates deviate significantly from the Black-Scholes prices, it would be difficult to find an alternative parametric model that performs better. Thus, from a practical viewpoint, the Black-Scholes prices appear to be the best available.
Ämnesord
- SAMHÄLLSVETENSKAP -- Ekonomi och näringsliv -- Nationalekonomi (hsv//swe)
- SOCIAL SCIENCES -- Economics and Business -- Economics (hsv//eng)
Nyckelord
- Electricity markets; Nonparametric estimation; Option pricing
Publikations- och innehållstyp
- vet (ämneskategori)
- rap (ämneskategori)