TY  - GEN
AB  - 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.
DA  - 2020
KW  - Electricity Swaps
KW  - Delivery Period
KW  - Market Price of Delivery Risk
KW  - Seasonality
KW  - Samuelson Effect
KW  - Stochastic Volatility
KW  - Option Pricing
KW  - Heston Model
LA  - eng
PY  - 2020
SN  - 0931-6558
TI  - The Market Price of Risk for Delivery Periods: Pricing Swaps and Options in Electricity Markets
UR  - https://nbn-resolving.org/urn:nbn:de:0070-pub-29433422
Y2  - 2024-11-22T00:00:10
ER  -