A 'simple' hybrid model for power derivatives

Energy Economics

Volumn 31, Issue 5, 2009, Pages 757-767

  Lyle, Matthew R ^a   Elliott, Robert J ^a  

^a UNIVERSITY OF CALGARY   (Canada)

Author keywords

Electricity pricing; Power derivatives; Seasonality

Indexed keywords

BASE-LOADS; BLACK SCHOLES EQUATIONS; CLOSED FORM SOLUTIONS; COMPUTATIONALLY EFFICIENT; ELECTRICITY PRICING; ELECTRICITY SPOT MARKET; EUROPEAN OPTION; HYBRID MODEL; MARKOV CHAIN MODELS; POWER DERIVATIVES; SEASONALITY; SIMPLE APPROACH; SPOT PRICE; SUPPLY-DEMAND;

COMPETITION; MARKOV PROCESSES;

COSTS;

DEMAND ANALYSIS; EFFICIENCY MEASUREMENT; ELECTRICITY SUPPLY; MARKOV CHAIN; MATHEMATICAL ANALYSIS; PRICE DETERMINATION; PRICE DYNAMICS; PRICING POLICY; SEASONALITY;

EID: 67650741463     PISSN: 01409883     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.eneco.2009.05.007     Document Type: Article

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