On pricing of electricity contracts by production capacity investments
نویسنده
چکیده
We address the problem of pricing contingent claims written on electricity. The special feature of this paper is to consider contract pricing within a market for power producing plants. Calculating equilibrium prices for this market, we obtain a valuation for electricity contingent claims which is fair in the sense that arbitrage is excluded for capacity and claim trading.
منابع مشابه
Pricing electricity risk by interest rate methods
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