Stochastic Modelling of the EEX-Spotmarket and Pricing of Swing Options

  • Kern, Sigrid, (Co-Investigator (CoI))
  • Stadlober, Ernst (Principal Investigator (PI))

Project: Research project

Description

The electricity market is a rather new development. A specific feature of it is that electric current is not storable. Financial derivatives as swing options and multi-exercise options are important instruments for hedging the risk of traders like Steweag-Steg. For the European Energy Exchange EEX a stochastic model for the hourly spot price is developed and its quality is validated by simulation studies. A suitable price model provides the basis for calculating the values of swing options. In particular four multi-exercise options with considerably differing restrictions are analyzed.
StatusFinished
Effective start/end date1/10/0231/03/05