论文标题
交货期风险的市场价格：电力市场的定价掉期和期权
The Market Price of Risk for Delivery Periods: Pricing Swaps and Options in Electricity Markets
论文作者
论文摘要
在电力市场中，期货合约通常可以作为掉期，因为它们在一段时间内交付了基础。在本文中，我们为电力掉期交付期间引入了市场价格，从而根据这些合同为衍生产品开设了无套利定价框架。此外，我们在相应的交货期内使用人工几何期货价格的加权几何平均。无需进行近似值，这种平均会导致几何交换价格动态。我们的框架允许将典型的特征作为萨缪尔森效应，季节性和随机波动性。特别是，我们研究了与Arismendi等人一致的电交换和选项的定价程序。 （2016），Schneider和Tavin（2018）以及Fanelli和Schmeck（2019）。一项数值研究强调了这些模型之间的差异，具体取决于交付期。
In electricity markets, futures contracts typically function as a swap since they deliver the underlying over a period of time. In this paper, we introduce a market price for the delivery periods of electricity swaps, thereby opening an arbitrage-free pricing framework for derivatives based on these contracts. Furthermore, we use a weighted geometric averaging of an artificial geometric futures price over the corresponding delivery period. Without any need for approximations, this averaging results in geometric swap price dynamics. Our framework allows for including typical features as the Samuelson effect, seasonalities, and stochastic volatility. In particular, we investigate the pricing procedures for electricity swaps and options in line with Arismendi et al. (2016), Schneider and Tavin (2018), and Fanelli and Schmeck (2019). A numerical study highlights the differences between these models depending on the delivery period.
