Kiesel, Rüdiger; Schindlmayr, Gero; Börger, Reik:
A two-factor model for the electricity forward market
In: Quantitative Finance, Jg. 9 (2009), Heft 3, S. 279 - 287
2009Artikel/Aufsatz in ZeitschriftOpen Access
Wirtschaftswissenschaften
Damit verbunden: 1 Publikation(en)
Titel in Englisch:
A two-factor model for the electricity forward market
Autor*in:
Kiesel, RüdigerUDE
GND
172185262
LSF ID
51086
ORCID
0000-0002-3089-2076ORCID iD
Sonstiges
der Hochschule zugeordnete*r Autor*in
;
Schindlmayr, Gero;Börger, Reik
Erscheinungsjahr:
2009
Open Access?:
Open Access
Sprache des Textes:
Englisch

Abstract in Englisch:

This paper provides a two-factor model for electricity futures, which 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 especially take care of 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.