Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/323572 
Erscheinungsjahr: 
2025
Quellenangabe: 
[Journal:] Mathematics and Financial Economics [ISSN:] 1862-9660 [Volume:] 19 [Issue:] 2 [Publisher:] Springer [Place:] Berlin, Heidelberg [Year:] 2025 [Pages:] 293-327
Verlag: 
Springer, Berlin, Heidelberg
Zusammenfassung: 
In this paper, we extend the market price of risk for delivery periods (MPDP) of electricity swap contracts by introducing a dimension for jump risk. As introduced by Kemper et al. [ 30 ], the MPDP arises through the use of geometric averaging while pricing electricity swaps in a geometric framework. We adjust the work by Kemper et al. [ 30 ] in two directions: First, we examine a Merton type model taking jumps into account. Second, we transfer the model to the physical measure by implementing mean-reverting behavior. We compare swap prices resulting from the arithmetic (approximated) average to the geometric weighted average. Under the physical measure, we discover a decomposition of the swap’s market price of risk into the instantaneous market price of risk and the MPDP.
Schlagwörter: 
Electricity swaps
Delivery period
MPDP for diffusion and jump risk
Mean-reversion
Jumps
Samuelson effect
Seasonality
JEL: 
G13
Q40
Persistent Identifier der Erstveröffentlichung: 
Creative-Commons-Lizenz: 
cc-by Logo
Dokumentart: 
Article
Dokumentversion: 
Published Version

Datei(en):
Datei
Größe





Publikationen in EconStor sind urheberrechtlich geschützt.