Preprint

Electricity derivatives

  • Barone-Adesi, Giovanni Istituto di finanza (IFin), Facoltà di scienze economiche, Università della Svizzera italiana, Svizzera
  • Gigli, Andrea Istituto di finanza (IFin), Facoltà di scienze economiche, Università della Svizzera italiana, Svizzera
    2002

16

English In this paper we propose an algorithm for pricing derivatives written on electricity in an incomplete market setting. A discrete time model for price dynamics which embodies the main features of electricity price revealed by simple time series analysis is considered. We use jointly Binomial and Monte Carlo methods for pricing under a risk-neutral measure of which we prove the existence.
Language
  • English
Classification
Economics
License
License undefined
Identifiers
  • RERO DOC 5384
Persistent URL
https://susi.usi.ch/usi/documents/318002
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