Does the Black-Scholes formula work for electricity markets? A nonparametric approach
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Cited by:
- Fred Espen Benth & Jūratė Šaltytė Benth & Steen Koekebakker, 2008. "Stochastic Modeling of Electricity and Related Markets," World Scientific Books, World Scientific Publishing Co. Pte. Ltd., number 6811, February.
- Paul Twomey & Karsten Neuhoff, 2005.
"Market Power and Technological Bias: The Case of Electricity Generation,"
Working Papers
EPRG 0501, Energy Policy Research Group, Cambridge Judge Business School, University of Cambridge.
- Twomey, P. & Neuhoff, K., 2005. "Market Power and Technological Bias: The Case of Electricity Generation," Cambridge Working Papers in Economics 0532, Faculty of Economics, University of Cambridge.
- Twomey, Paul & Neuhoff, Karsten, 2010. "Wind power and market power in competitive markets," Energy Policy, Elsevier, vol. 38(7), pages 3198-3210, July.
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More about this item
Keywords
Electricity markets; Nonparametric estimation; Option pricing;All these keywords.
JEL classification:
- C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
- L94 - Industrial Organization - - Industry Studies: Transportation and Utilities - - - Electric Utilities
NEP fields
This paper has been announced in the following NEP Reports:- NEP-CFN-2003-08-17 (Corporate Finance)
- NEP-CMP-2003-08-17 (Computational Economics)
- NEP-RMG-2003-08-17 (Risk Management)
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