GARCH-based put option valuation to maximize benefit of wind investors

Applied Energy

Volumn 136, Issue , 2014, Pages 259-268

  Contreras, Javier ^a   Rodríguez, Yeny E ^b  

^a UNIVERSITY OF CASTILLA LA MANCHA   (Spain)

^b UNIVERSIDAD ICESI   (Colombia)

Author keywords

ARIMA GARCH; Conditional heteroskedasticity; Empirical martingale simulation; Put options; Wind investments

Indexed keywords

COMMERCE; COSTS; ECONOMICS; ELECTRIC INDUSTRY; INTELLIGENT SYSTEMS; MONTE CARLO METHODS; WIND POWER;

ARIMA-GARCH; CONDITIONAL HETEROSKEDASTICITY; ELECTRICITY MARKET; EMPIRICAL MARTINGALE SIMULATION; HIGH VOLATILITY; OPTIONS MARKET; PRICE VOLATILITY; PUT OPTIONS;

INVESTMENTS;

COST-BENEFIT ANALYSIS; ELECTRICAL POWER; MONTE CARLO ANALYSIS; WIND POWER;

COLOMBIA;

EID: 84907706084     PISSN: 03062619     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.apenergy.2014.08.085     Document Type: Article

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