| 来源类型 | Book Section |
| DOI | 10.1007/978-1-4614-9035-7_15 |
| Pricing of energy contracts: From replication pricing to swing options. | |
| Kovacevic RM; Pflug GC; Kovacevic, RM; Pflug, GC; Vespucci, MT | |
| 发表日期 | 2013 |
| 出处 | Handbook of Risk Management in Energy Production and Trading. Eds. Kovacevic, RM , Pflug, GC & Vespucci, MT , pp. 387-411 USA: Springer. DOI: 10.1007/978-1-4614-9035-7_15 . |
| 出版年 | 2013 |
| 语种 | 英语 |
| 摘要 | The principle of replication or superhedging is widely used for valuating financial contracts, in particular, derivatives. In the special situation of energy markets, this principle is not quite appropriate and might lead to unrealistic high prices, when complete hedging is not possible, or to unrealistic low prices, when own production is involved. Therefore we compare it to further valuation strategies: acceptability pricing weakens the requirement of almost sure replication and indifference pricing accounts for the opportunity costs of producing for a considered contract. Finally, we describe a game-theoretic approach for valuating flexible contracts (swing options), which is based on bi-level optimization. |
| 主题 | Risk, Policy and Vulnerability (RPV) ; Risk & ; Resilience (RISK) |
| URL | http://pure.iiasa.ac.at/id/eprint/10573/ |
| 来源智库 | International Institute for Applied Systems Analysis (Austria) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/134265 |
| 推荐引用方式 GB/T 7714 | Kovacevic RM,Pflug GC,Kovacevic, RM,et al. Pricing of energy contracts: From replication pricing to swing options.. 2013. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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