Sökning: onr:"swepub:oai:DiVA.org:oru-76675" >
Pricing electricity...
Pricing electricity swaptions under a stochastic volatility term structure model
-
- Green, Rikard (författare)
- Lund University,Lunds universitet,Nationalekonomiska institutionen,Ekonomihögskolan,Department of Economics,Lund University School of Economics and Management, LUSEM
-
- Larsson, Karl, 1974- (författare)
- Lund University,Lunds universitet,Nationalekonomiska institutionen,Ekonomihögskolan,Department of Economics,Lund University School of Economics and Management, LUSEM
-
- Nossman, Marcus (författare)
- Lund University,Lunds universitet,Nationalekonomiska institutionen,Ekonomihögskolan,Department of Economics,Lund University School of Economics and Management, LUSEM
-
(creator_code:org_t)
- Incisive Media Investments Ltd. 2013
- 2013
- Engelska.
-
Ingår i: Journal of Energy Markets. - : Incisive Media Investments Ltd.. - 1756-3607 .- 1756-3615. ; 6:4, s. 43-67
- Relaterad länk:
-
https://urn.kb.se/re...
-
visa fler...
-
https://doi.org/10.2...
-
https://lup.lub.lu.s...
-
visa färre...
Abstract
Ämnesord
Stäng
- This paper suggests a stochastic volatility term structure model applied to the pricing of electricity swaptions in the Nordic power market traded at the Nasdaq OMX Commodities exchange. The volatility structure in the model is specified as a product of a time-dependent function, which handles the maturity effect, and a Cox-Ingersoll-Ross process for the stochastic volatility. We employ a Fourier-based approach to pricing electricity swaptions and perform an empirical analysis by calibrating the model to a data set consisting of more than 12 000 pairs of implied bid-ask volatilities, corresponding to swaption prices from the Nordic power market. We show that our model outperforms the lognormal benchmark both in- and out-of-sample.
Ämnesord
- SAMHÄLLSVETENSKAP -- Ekonomi och näringsliv -- Nationalekonomi (hsv//swe)
- SOCIAL SCIENCES -- Economics and Business -- Economics (hsv//eng)
Publikations- och innehållstyp
- ref (ämneskategori)
- art (ämneskategori)
Hitta via bibliotek
Till lärosätets databas