Pricing Forward Contracts in Power Markets by the Certainty Equivalence Principle: Explaining the Sign of the Market Risk Premium
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- Benth, Fred Espen & Cartea, Álvaro & Kiesel, Rüdiger, 2008. "Pricing forward contracts in power markets by the certainty equivalence principle: Explaining the sign of the market risk premium," Journal of Banking & Finance, Elsevier, vol. 32(10), pages 2006-2021, October.
References listed on IDEAS
- Alvaro Cartea & Marcelo Figueroa, 2005.
"Pricing in Electricity Markets: A Mean Reverting Jump Diffusion Model with Seasonality,"
Applied Mathematical Finance,
Taylor & Francis Journals, vol. 12(4), pages 313-335.
- Alvaro Cartea & Marcelo_Gustavo Figueroa, 2005. "Pricing in Electricity Markets: a Mean Reverting Jump Diffusion Model with Seasonality," Finance 0501011, EconWPA, revised 12 Sep 2005.
- Alvaro Cartea & Marcelo Gustavo Figueroa, 2005. "Pricing in Electricity Markets: a Mean Reverting Jump Diffusion Model with Seasonality," Birkbeck Working Papers in Economics and Finance 0507, Birkbeck, Department of Economics, Mathematics & Statistics.
- Cartea, Álvaro & Williams, Thomas, 2008.
"UK gas markets: The market price of risk and applications to multiple interruptible supply contracts,"
Elsevier, vol. 30(3), pages 829-846, May.
- Alvaro Cartea & Thomas Williams, 2006. "UK Gas Markets: the Market Price of Risk and Applications to Multiple Interruptible Supply Contracts," Birkbeck Working Papers in Economics and Finance 0608, Birkbeck, Department of Economics, Mathematics & Statistics.
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More about this item
KeywordsContango; backwardation; market price of risk; electricity forwards; market risk premium; forward risk premium; forward bias.;
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
- D81 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Criteria for Decision-Making under Risk and Uncertainty
- Q40 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - General
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2006-11-18 (All new papers)
- NEP-ENE-2006-11-18 (Energy Economics)
- NEP-MIC-2006-11-18 (Microeconomics)
- NEP-UPT-2006-11-18 (Utility Models & Prospect Theory)
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