Advanced Search
MyIDEAS: Login to save this article or follow this journal

Las emisiones primarias de energía en el mercado español: valoración de opciones teórica y de mercado/Primary Energy Emissions in the Spanish Market: Theoretical and Market-Based Option Pricing

Contents:

Author Info

  • PEÑA, JUAN IGNACIO

    ()
    (Departamento de Economía de la Empresa, UNIVERSIDAD CARLOS III DE MADRID, ESPAÑA.)

Registered author(s):

    Abstract

    Este trabajo describe las principales características generales de las subastas de capacidad virtual y las particularidades de su aplicación al mercado español como emisiones primarias de energía. Se analizan los resultados de la valoración de los precios de las opciones proporcionados por las subastas, de las cuales se realizaron siete ediciones. La evidencia empírica sugiere que en los precios de las opciones se están incorporando valores temporales negativos, lo cual es inconsistente con los modelos de valoración de opciones conocidos. This paper describes the main characteristics of the virtual power plant auctions and their applications to the Spanish energy market, known as primary energy emissions. The auction prices resulting from the seven auction processes available are analyzed from the point of view of the option pricing theory. The empirical evidence suggests that the option prices implied in the auction’s results include negative time values, which is inconsistent with the implications of the option pricing models currently available.

    Download Info

    If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
    File URL: http://www.revista-eea.net
    Download Restriction: Access to full text is restricted to subscribers.

    As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.

    Bibliographic Info

    Article provided by Estudios de Economía Aplicada in its journal Estudios de Economía Aplicada.

    Volume (Year): 29 (2011)
    Issue (Month): (Agosto)
    Pages: 617-626

    as in new window
    Handle: RePEc:lrk:eeaart:29_2_11

    Contact details of provider:
    Postal: Beatriz Rodríguez Prado. Facultad de CC.EE. y EE. Avda. Valle del Esgueva. Valladolid 47011 SPAIN
    Phone: (34) 983 423320
    Fax: (34) 983 184568
    Web page: http://www.revista-eea.net
    More information through EDIRC

    Order Information:
    Email:
    Web: http://www.revista-eea.net

    Related research

    Keywords: Subastas de capacidad; valoración de opciones ; Capacity Auctions; Option Pricing..;

    Find related papers by JEL classification:

    References

    References listed on IDEAS
    Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
    as in new window
    1. de Frutos, Maria-Angeles & Fabra, Natalia, 2007. "Endogenous Capacities and Price Competition: The Role of Demand Uncertainty," CEPR Discussion Papers, C.E.P.R. Discussion Papers 6096, C.E.P.R. Discussion Papers.
    2. Alvaro Escribano & J. Ignacio Peña & Pablo Villaplana, 2011. "Modelling Electricity Prices: International Evidence," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, Department of Economics, University of Oxford, vol. 73(5), pages 622-650, October.
    3. Lawrence M. Ausubel & Peter Cramton, 2009. "Virtual Power Plant Auctions," Papers of Peter Cramton 09vpp, University of Maryland, Department of Economics - Peter Cramton, revised 2009.
    4. Black, Fischer, 1976. "The pricing of commodity contracts," Journal of Financial Economics, Elsevier, Elsevier, vol. 3(1-2), pages 167-179.
    Full references (including those not matched with items on IDEAS)

    Citations

    Lists

    This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

    Statistics

    Access and download statistics

    Corrections

    When requesting a correction, please mention this item's handle: RePEc:lrk:eeaart:29_2_11. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Beatriz Rodríguez Prado).

    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 references are entirely missing, you can add them using this form.

    If the full references list an item that is present in RePEc, but the system did not link 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 profile, as there may be some citations waiting for confirmation.

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