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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



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

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    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.

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

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

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    Handle: RePEc:lrk:eeaart:29_2_11
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    1. Black, Fischer, 1976. "The pricing of commodity contracts," Journal of Financial Economics, Elsevier, vol. 3(1-2), pages 167-179.
    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, vol. 73(5), pages 622-650, October.
    3. de Frutos, María-Ángeles & Fabra, Natalia, 2011. "Endogenous capacities and price competition: The role of demand uncertainty," International Journal of Industrial Organization, Elsevier, vol. 29(4), pages 399-411, July.
    4. Ausubel, Lawrence M. & Cramton, Peter, 2010. "Virtual power plant auctions," Utilities Policy, Elsevier, vol. 18(4), pages 201-208, December.
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