Market price of risk implied by Asian-style electricity options
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CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Sandro Sapio, 2008. "Volatility-price relationships in power exchanges: A demand-supply analysis," LEM Papers Series 2008/07, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy.
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More about this item
KeywordsPower market; Electricity price modeling; Asian option; Market price of risk; Derivatives pricing;
- C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
- L94 - Industrial Organization - - Industry Studies: Transportation and Utilities - - - Electric Utilities
- 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-2005-04-16 (All new papers)
- NEP-ENE-2005-04-16 (Energy Economics)
- NEP-FIN-2005-04-16 (Finance)
- NEP-SEA-2005-04-16 (South East Asia)
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