Dynamic pricing of wind futures

被引：23
|
作者：
Benth, Fred Espen [1 ,2 ]
Benth, Jurate Saltyte [3 ,4 ]
机构：
[1] Univ Oslo, Ctr Math Appl, N-0316 Oslo, Norway
[2] Univ Agder, Sch Management, N-4604 Kristiansand, Norway
[3] Hokh, NO-1478 Lorenskog, Norway
[4] Univ Oslo, Fac Div Akershus Univ Hosp, N-0316 Oslo, Norway
来源：
ENERGY ECONOMICS | 2009年 / 31卷 / 01期
关键词：
Wind power; Weather derivatives; Wind futures; Hedging; Continuous-time autoregressive process; Seasonality; Samuelson effect; TEMPERATURE; PRICES;
D O I：
10.1016/j.eneco.2008.09.009
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
Daily average wind speeds are dynamically modelled by a continuous-time autoregressive model with seasonal mean and volatility. Futures prices based on an index of aggregated wind speeds are derived, and it is shown that the Samuelson effect breaks down. The volatility of these futures will decrease when approaching maturity, an effect which is explained by the memory in higher-order autoregressive models. (C) 2008 Elsevier B.V. All rights reserved.
引用
收藏
页码：16 / 24
页数：9
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