Pricing electricity derivatives within a Markov regime-switching model: a risk premium approach
In this paper we derive analytic formulas for electricity derivatives under assumption that electricity spot prices follow a 3-regime Markov regime-switching model with independent spikes and drops and periodic transition matrix. Since the classical derivatives pricing methodology cannot be used in...
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| Published in | Mathematical methods of operations research (Heidelberg, Germany) Vol. 79; no. 1; pp. 1 - 30 |
|---|---|
| Main Author | |
| Format | Journal Article |
| Language | English |
| Published |
Berlin/Heidelberg
Springer Berlin Heidelberg
01.02.2014
Springer Nature B.V |
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| Abstract | In this paper we derive analytic formulas for electricity derivatives under assumption that electricity spot prices follow a 3-regime Markov regime-switching model with independent spikes and drops and periodic transition matrix. Since the classical derivatives pricing methodology cannot be used in the case of non-storable commodities, we employ the concept of the risk premium. The obtained theoretical results are then used for the European Energy Exchange data analysis. We calculate the risk premium in the case of the calibrated 3-regime MRS model. We find a time varying structure of the risk premium and an evidence for a negative risk premium (or positive forward premium), especially at short times before delivery. Finally, we use the obtained risk premium to calculate prices of European options written on spot, as well as, forward prices. |
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| AbstractList | In this paper we derive analytic formulas for electricity derivatives under assumption that electricity spot prices follow a 3-regime Markov regime-switching model with independent spikes and drops and periodic transition matrix. Since the classical derivatives pricing methodology cannot be used in the case of non-storable commodities, we employ the concept of the risk premium. The obtained theoretical results are then used for the European Energy Exchange data analysis. We calculate the risk premium in the case of the calibrated 3-regime MRS model. We find a time varying structure of the risk premium and an evidence for a negative risk premium (or positive forward premium), especially at short times before delivery. Finally, we use the obtained risk premium to calculate prices of European options written on spot, as well as, forward prices. [PUBLICATION ABSTRACT] In this paper we derive analytic formulas for electricity derivatives under assumption that electricity spot prices follow a 3-regime Markov regime-switching model with independent spikes and drops and periodic transition matrix. Since the classical derivatives pricing methodology cannot be used in the case of non-storable commodities, we employ the concept of the risk premium. The obtained theoretical results are then used for the European Energy Exchange data analysis. We calculate the risk premium in the case of the calibrated 3-regime MRS model. We find a time varying structure of the risk premium and an evidence for a negative risk premium (or positive forward premium), especially at short times before delivery. Finally, we use the obtained risk premium to calculate prices of European options written on spot, as well as, forward prices. |
| Author | Janczura, Joanna |
| Author_xml | – sequence: 1 givenname: Joanna surname: Janczura fullname: Janczura, Joanna email: joanna.janczura@pwr.wroc.pl organization: Hugo Steinhaus Center, Institute of Mathematics and Computer Science, Wrocław University of Technology |
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| Keywords | Risk premium Electricity spot price Regime-switching model Derivatives pricing |
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| SubjectTerms | Business and Management Calculus of Variations and Optimal Control; Optimization Calibration Commodities Data analysis Derivatives Economic models Economic statistics Economic theory Electricity Electricity generation Energy economics Markov models Mathematical analysis Mathematical models Mathematics Mathematics and Statistics Operations research Operations Research/Decision Theory Options markets Original Article Pricing Pricing policies Risk Risk premiums Studies Time series |
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| Title | Pricing electricity derivatives within a Markov regime-switching model: a risk premium approach |
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