Spot Price Modeling and the Valuation of Electricity Forward Contracts: the Role of Demand and Capacity
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- Cartea, Álvaro & Villaplana, Pablo, 2008. "Spot price modeling and the valuation of electricity forward contracts: The role of demand and capacity," Journal of Banking & Finance, Elsevier, vol. 32(12), pages 2502-2519, December.
References listed on IDEAS
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"Modelling Electricity Prices with Forward Looking Capacity Constraints,"
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More about this item
Keywords
power prices; demand; capacity; forward premium; forward bias; market price of capacity risk; market price of demand risk; PJM; England and Wales; Nord Pool;All these keywords.
JEL classification:
- C5 - Mathematical and Quantitative Methods - - Econometric Modeling
- G00 - Financial Economics - - General - - - General
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
- Q4 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy
- Q41 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - Demand and Supply; Prices
NEP fields
This paper has been announced in the following NEP Reports:- NEP-ENE-2007-11-03 (Energy Economics)
- NEP-MIC-2007-11-03 (Microeconomics)
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