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Thesis

Pricing swing options and other electricity derivatives

Abstract:

The deregulation of regional electricity markets has led to more competitive prices but also higher uncertainty in the future electricity price development. Most markets exhibit high volatilities and occasional distinctive price spikes, which results in demand for derivative products which protect the holder against high prices. A good understanding of the stochastic price dynamics is required for the purposes of risk management and pricing derivatives. In this thesis we examine a simple spo...

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Publication date:
2006
URN:
uuid:dbc41c8a-5253-41e5-8d73-e75eff5c737e
Local pid:
oai:eprints.maths.ox.ac.uk:246

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